Expiry brief · Monday, 05 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 | ||
|---|---|---|---|---|
| 01:30 | 🇦🇺 | holiday | Bank Holiday | |
| 04:31 | 🇨🇳 | holiday | Bank Holiday | |
| 19:30 | 🇺🇸 | medium | ISM Services PMI | 55.1 |
Full week on the economic calendar →
At the open · 09:20 IST
Taken 09:20 IST · LIVE
NIFTY is at 22,552.10, +0.58% on the day. The 22550 straddle for the 06 Oct expiry costs ₹196.90 (119.70 call + 77.20 put), which is the market pricing a one-standard-deviation move of about ±197 points, ±0.87%, over the 1.3 days to expiry. Read that as the expected range: 22,355 to 22,749. Roughly two expiries in three should finish inside it; the third is where the money is made and lost.
India VIX at 14.27 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 (-3.3 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 ₹3,325 a lot with a maximum loss of ₹3,175 and breakevens at 22,399 / 22,701. The short strangle underneath it collects ₹7,312 — ₹3,987 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 ₹12,798 a lot and needs NIFTY beyond 22,353 or 22,747 at expiry to pay. It bleeds about ₹5,092 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 @ 45.50 · +1 22350 PE @ 26.65 · −1 22650 CE @ 67.00 · +1 22750 CE @ 34.70 | credit ₹3,325 | ₹3,325 | ₹3,175 | 22,399 / 22,701 |
| Short strangle −1 22650 CE @ 67.00 · −1 22450 PE @ 45.50 | credit ₹7,312 | ₹7,312 | unlimited | 22,338 / 22,762 |
| Long straddle +1 22550 CE @ 119.70 · +1 22550 PE @ 77.20 | debit ₹12,798 | unlimited | ₹12,798 | 22,353 / 22,747 |
| Bull call spread +1 22550 CE @ 119.70 · −1 22650 CE @ 67.00 | debit ₹3,426 | ₹3,074 | ₹3,426 | 22,603 |
Re-price any of these live in the builder →
At the close · 15:35 IST
Taken 15:35 IST · LIVE
NIFTY is at 22,555.75, +0.60% on the day. The 22550 straddle for the 06 Oct expiry costs ₹163.05 (83.30 call + 79.75 put), which is the market pricing a one-standard-deviation move of about ±163 points, ±0.72%, over the 1.0 days to expiry. Read that as the expected range: 22,393 to 22,719. Roughly two expiries in three should finish inside it; the third is where the money is made and lost.
India VIX at 14.72 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 (+2.1 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 ₹2,906 a lot with a maximum loss of ₹3,594 and breakevens at 22,405 / 22,695. The short strangle underneath it collects ₹5,398 — ₹2,492 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 ₹10,598 a lot and needs NIFTY beyond 22,387 or 22,713 at expiry to pay. It bleeds about ₹5,316 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 54,714 with a straddle of ₹1,739 (±3.18%, expiry 27 Oct); SENSEX 72,382 with a straddle of ₹888 (±1.23%, 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 22450 PE @ 42.80 · +1 22350 PE @ 21.40 · −1 22650 CE @ 40.25 · +1 22750 CE @ 16.95 | credit ₹2,906 | ₹2,906 | ₹3,594 | 22,405 / 22,695 |
| Short strangle −1 22650 CE @ 40.25 · −1 22450 PE @ 42.80 | credit ₹5,398 | ₹5,398 | unlimited | 22,367 / 22,733 |
| Long straddle +1 22550 CE @ 83.30 · +1 22550 PE @ 79.75 | debit ₹10,598 | unlimited | ₹10,598 | 22,387 / 22,713 |
| Bull call spread +1 22550 CE @ 83.30 · −1 22650 CE @ 40.25 | debit ₹2,798 | ₹3,702 | ₹2,798 | 22,593 |
Re-price any of these live in the builder →
What happened against what was priced
NIFTY closed at 22,555.75, +4 points (+0.02%) from the 22,552.10 it opened this brief at. The open straddle priced ±197; the day stayed inside that range. The 22550 straddle itself went from ₹196.90 to ₹163.05 — time decay winning over movement.
ATM implied volatility moved from 18.6% to 17.3%; India VIX from 14.27 to 14.72.
A short strangle put on at the open had breakevens of 22,338 and 22,762; 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.