Expiry brief · Thursday, 01 October 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 | ||
|---|---|---|---|---|
| 01:00 | 🇺🇸 | medium | President Trump Speaks | |
| 03:30 | 🇺🇸 | medium | FOMC Member Kashkari Speaks | |
| 04:31 | 🇨🇳 | holiday | Bank Holiday | |
| 10:30 | 🇮🇳 | medium | Manufacturing PMI | |
| 18:00 | 🇺🇸 | medium | Unemployment Claims | 201K |
| 19:30 | 🇺🇸 | medium | FOMC Member Waller Speaks | |
| 19:30 | 🇺🇸 | medium | ISM Manufacturing PMI | 54.8 |
Full week on the economic calendar →
At the open · 09:20 IST
Taken 09:20 IST · LIVE
NIFTY is at 22,560.55, -0.26% on the day. The 22550 straddle for the 06 Oct expiry costs ₹262.45 (151.95 call + 110.50 put), which is the market pricing a one-standard-deviation move of about ±262 points, ±1.16%, over the 5.3 days to expiry. Read that as the expected range: 22,298 to 22,823. Roughly two expiries in three should finish inside it; the third is where the money is made and lost.
India VIX at 13.71 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 (-0.3 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 ₹4,111 a lot with a maximum loss of ₹2,389 and breakevens at 22,387 / 22,713. The short strangle underneath it collects ₹11,404 — ₹7,293 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 ₹17,059 a lot and needs NIFTY beyond 22,288 or 22,812 at expiry to pay. It bleeds about ₹1,626 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.
Strategies priced off this chain · NIFTY · lot 65
| Structure · legs (per share) | Net / lot | Max profit | Max loss | Breakevens |
|---|---|---|---|---|
| Iron condor −1 22450 PE @ 73.90 · +1 22350 PE @ 48.70 · −1 22650 CE @ 101.55 · +1 22750 CE @ 63.50 | credit ₹4,111 | ₹4,111 | ₹2,389 | 22,387 / 22,713 |
| Short strangle −1 22650 CE @ 101.55 · −1 22450 PE @ 73.90 | credit ₹11,404 | ₹11,404 | unlimited | 22,274 / 22,826 |
| Long straddle +1 22550 CE @ 151.95 · +1 22550 PE @ 110.50 | debit ₹17,059 | unlimited | ₹17,059 | 22,288 / 22,812 |
| Bull call spread +1 22550 CE @ 151.95 · −1 22650 CE @ 101.55 | debit ₹3,276 | ₹3,224 | ₹3,276 | 22,600 |
Re-price any of these live in the builder →
At the close · 15:35 IST
Taken 15:35 IST · LIVE
NIFTY is at 22,421.95, -0.88% on the day. The 22400 straddle for the 06 Oct expiry costs ₹258.95 (150.50 call + 108.45 put), which is the market pricing a one-standard-deviation move of about ±259 points, ±1.15%, over the 5.0 days to expiry. Read that as the expected range: 22,163 to 22,681. Roughly two expiries in three should finish inside it; the third is where the money is made and lost.
India VIX at 14.50 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 (+0.6 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 ₹3,972 a lot with a maximum loss of ₹2,528 and breakevens at 22,239 / 22,561. The short strangle underneath it collects ₹11,138 — ₹7,166 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 ₹16,832 a lot and needs NIFTY beyond 22,141 or 22,659 at expiry to pay. It bleeds about ₹1,682 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 22,900 — the strike writers are defending as resistance; the largest put open interest below sits at 22,000, the floor.
Elsewhere: BANKNIFTY 54,451 with a straddle of ₹1,827 (±3.35%, expiry 27 Oct); SENSEX 71,910 with a straddle of ₹1,161 (±1.61%, expiry 08 Oct).
Strategies priced off this chain · NIFTY · lot 65
| Structure · legs (per share) | Net / lot | Max profit | Max loss | Breakevens |
|---|---|---|---|---|
| Iron condor −1 22300 PE @ 72.55 · +1 22200 PE @ 48.75 · −1 22500 CE @ 98.80 · +1 22600 CE @ 61.50 | credit ₹3,972 | ₹3,972 | ₹2,528 | 22,239 / 22,561 |
| Short strangle −1 22500 CE @ 98.80 · −1 22300 PE @ 72.55 | credit ₹11,138 | ₹11,138 | unlimited | 22,129 / 22,671 |
| Long straddle +1 22400 CE @ 150.50 · +1 22400 PE @ 108.45 | debit ₹16,832 | unlimited | ₹16,832 | 22,141 / 22,659 |
| Bull call spread +1 22400 CE @ 150.50 · −1 22500 CE @ 98.80 | debit ₹3,360 | ₹3,140 | ₹3,360 | 22,452 |
Re-price any of these live in the builder →
What happened against what was priced
NIFTY closed at 22,421.95, -139 points (-0.61%) from the 22,560.55 it opened this brief at. The open straddle priced ±262; the day stayed inside that range. The 22550 straddle itself went from ₹262.45 to ₹258.95 — time decay winning over movement.
ATM implied volatility moved from 12.1% to 12.3%; India VIX from 13.71 to 14.50.
A short strangle put on at the open had breakevens of 22,274 and 22,826; 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.