Expiry brief · Wednesday, 30 September 2026
What the NIFTY option chain is pricing today, in numbers a trader can act on: the straddle as the expected move, volatility, skew, and four structures priced live. Written by the server at fixed times, every trading day.
Scheduled today
| IST | RELEASE | ACTUAL / FCST | ||
|---|---|---|---|---|
| 07:00 | 🇦🇺 | high | CPI m/m | 0.5% |
| 07:00 | 🇦🇺 | high | CPI y/y | 4.1% |
| 07:00 | 🇦🇺 | high | Trimmed Mean CPI m/m | 0.3% |
| 17:30 | 🇨🇦 | holiday | Bank Holiday | |
| 17:45 | 🇺🇸 | medium | ADP Non-Farm Employment Change | 73K |
| 18:00 | 🇺🇸 | high | Core PCE Price Index m/m | 0.3% |
| 18:00 | 🇺🇸 | high | Final GDP q/q | 1.5% |
| 18:00 | 🇺🇸 | medium | Final GDP Price Index q/q | 6.4% |
Full week on the economic calendar →
At the open · 09:20 IST
Taken 09:20 IST · LIVE
NIFTY is at 22,704.45, -0.05% on the day. The 22700 straddle for the 06 Oct expiry costs ₹307.05 (184.80 call + 122.25 put), which is the market pricing a one-standard-deviation move of about ±307 points, ±1.35%, over the 6.3 days to expiry. Read that as the expected range: 22,397 to 23,012. Roughly two expiries in three should finish inside it; the third is where the money is made and lost.
India VIX at 13.42 is in its ordinary range: premium is fairly priced, and the edge comes from structure and sizing rather than from volatility being mispriced. Skew is inverted (-1.6 IV points): calls are trading richer than puts, which usually means a chase for upside; call spreads carry the premium today.
Priced off this chain, an iron condor collects ₹4,492 a lot with a maximum loss of ₹2,008 and breakevens at 22,531 / 22,869. The short strangle underneath it collects ₹14,134 — ₹9,642 more — for a loss that has no ceiling. That difference is the price of sleeping through a gap; decide whether it is worth paying before the market decides for you.
On the other side, the long straddle costs ₹19,958 a lot and needs NIFTY beyond 22,393 or 23,007 at expiry to pay. It bleeds about ₹1,600 a day in time value right now. Buy it only if you expect the market to move more than it is charging for — and know why.
Open interest across the loaded strikes: the largest call open interest above spot sits at 23,000 — the strike writers are defending as resistance; the largest put open interest below sits at 22,700, the floor.
Strategies priced off this chain · NIFTY · lot 65
| Structure · legs (per share) | Net / lot | Max profit | Max loss | Breakevens |
|---|---|---|---|---|
| Iron condor −1 22600 PE @ 87.15 · +1 22500 PE @ 60.70 · −1 22800 CE @ 130.30 · +1 22900 CE @ 87.65 | credit ₹4,492 | ₹4,492 | ₹2,008 | 22,531 / 22,869 |
| Short strangle −1 22800 CE @ 130.30 · −1 22600 PE @ 87.15 | credit ₹14,134 | ₹14,134 | unlimited | 22,382 / 23,018 |
| Long straddle +1 22700 CE @ 184.80 · +1 22700 PE @ 122.25 | debit ₹19,958 | unlimited | ₹19,958 | 22,393 / 23,007 |
| Bull call spread +1 22700 CE @ 184.80 · −1 22800 CE @ 130.30 | debit ₹3,542 | ₹2,958 | ₹3,542 | 22,754 |
Re-price any of these live in the builder →
At the close · 15:35 IST
Taken 15:35 IST · LIVE
NIFTY is at 22,620.45, -0.42% on the day. The 22600 straddle for the 06 Oct expiry costs ₹281.00 (166.30 call + 114.70 put), which is the market pricing a one-standard-deviation move of about ±281 points, ±1.24%, over the 6.0 days to expiry. Read that as the expected range: 22,339 to 22,901. Roughly two expiries in three should finish inside it; the third is where the money is made and lost.
India VIX at 13.51 is in its ordinary range: premium is fairly priced, and the edge comes from structure and sizing rather than from volatility being mispriced. Skew is mild (-0.1 IV points): neither side of the chain is paying up, so structures can be built symmetric around spot.
Priced off this chain, an iron condor collects ₹4,202 a lot with a maximum loss of ₹2,298 and breakevens at 22,435 / 22,765. The short strangle underneath it collects ₹12,529 — ₹8,327 more — for a loss that has no ceiling. That difference is the price of sleeping through a gap; decide whether it is worth paying before the market decides for you.
On the other side, the long straddle costs ₹18,265 a lot and needs NIFTY beyond 22,319 or 22,881 at expiry to pay. It bleeds about ₹1,524 a day in time value right now. Buy it only if you expect the market to move more than it is charging for — and know why.
Open interest across the loaded strikes: the largest call open interest above spot sits at 23,000 — the strike writers are defending as resistance; the largest put open interest below sits at 22,500, the floor.
Elsewhere: BANKNIFTY 54,633 with a straddle of ₹1,761 (±3.22%, expiry 27 Oct); SENSEX 72,480 with a straddle of ₹505 (±0.70%, expiry 01 Oct).
Strategies priced off this chain · NIFTY · lot 65
| Structure · legs (per share) | Net / lot | Max profit | Max loss | Breakevens |
|---|---|---|---|---|
| Iron condor −1 22500 PE @ 78.00 · +1 22400 PE @ 52.40 · −1 22700 CE @ 114.75 · +1 22800 CE @ 75.70 | credit ₹4,202 | ₹4,202 | ₹2,298 | 22,435 / 22,765 |
| Short strangle −1 22700 CE @ 114.75 · −1 22500 PE @ 78.00 | credit ₹12,529 | ₹12,529 | unlimited | 22,307 / 22,893 |
| Long straddle +1 22600 CE @ 166.30 · +1 22600 PE @ 114.70 | debit ₹18,265 | unlimited | ₹18,265 | 22,319 / 22,881 |
| Bull call spread +1 22600 CE @ 166.30 · −1 22700 CE @ 114.75 | debit ₹3,351 | ₹3,149 | ₹3,351 | 22,652 |
Re-price any of these live in the builder →
What happened against what was priced
NIFTY closed at 22,620.45, -84 points (-0.37%) from the 22,704.45 it opened this brief at. The open straddle priced ±307; the day stayed inside that range. The 22700 straddle itself went from ₹307.05 to ₹281.00 — time decay winning over movement.
ATM implied volatility moved from 12.9% to 12.1%; India VIX from 13.42 to 13.51.
A short strangle put on at the open had breakevens of 22,382 and 23,018; spot finished between them. One day is not a track record — but this is exactly the comparison to keep a journal of.
BANKNIFTY and SENSEX
Why the straddle is the expected move — Finch, chapter 6 →
The expiry brief is generated by Finostat's server from its live option chains at fixed times and written up from templates; it is education and market description, not a recommendation. Prices are indicative and can be stale. Derivatives can lose more than you put in. Finostat is not a SEBI-registered adviser.