Expiry brief · Tuesday, 06 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 | ||
|---|---|---|---|---|
| 04:31 | 🇨🇳 | holiday | Bank Holiday | |
| 10:30 | 🇮🇳 | medium | Services PMI | |
| 12:05 | 🇯🇵 | high | BOJ Gov Ueda Speaks |
Full week on the economic calendar →
At the open · 09:20 IST
Taken 09:20 IST · LIVE
NIFTY is at 22,585.75, +0.13% on the day. The 22600 straddle for the 06 Oct expiry costs ₹127.10 (59.60 call + 67.50 put), which is the market pricing a one-standard-deviation move of about ±127 points, ±0.56%, over the 0.3 days to expiry. Read that as the expected range: 22,459 to 22,713. Roughly two expiries in three should finish inside it; the third is where the money is made and lost.
India VIX at 14.47 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 (+0.4 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 ₹2,204 a lot with a maximum loss of ₹4,296 and breakevens at 22,466 / 22,734. The short strangle underneath it collects ₹3,497 — ₹1,293 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 ₹8,262 a lot and needs NIFTY beyond 22,473 or 22,727 at expiry to pay. It bleeds about ₹15,954 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 22,600 — the strike writers are defending as resistance; the largest put open interest below sits at 22,500, the floor.
Elsewhere: BANKNIFTY 54,904 with a straddle of ₹1,685 (±3.07%, expiry 27 Oct); SENSEX 72,423 with a straddle of ₹816 (±1.13%, 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 22500 PE @ 30.75 · +1 22400 PE @ 12.40 · −1 22700 CE @ 23.05 · +1 22800 CE @ 7.50 | credit ₹2,204 | ₹2,204 | ₹4,296 | 22,466 / 22,734 |
| Short strangle −1 22700 CE @ 23.05 · −1 22500 PE @ 30.75 | credit ₹3,497 | ₹3,497 | unlimited | 22,446 / 22,754 |
| Long straddle +1 22600 CE @ 59.60 · +1 22600 PE @ 67.50 | debit ₹8,262 | unlimited | ₹8,262 | 22,473 / 22,727 |
| Bull call spread +1 22600 CE @ 59.60 · −1 22700 CE @ 23.05 | debit ₹2,376 | ₹4,124 | ₹2,376 | 22,636 |
Re-price any of these live in the builder →
BANKNIFTY and SENSEX
At the close · 15:35 IST
Taken 15:35 IST · LIVE
NIFTY is at 22,776.10, +0.98% on the day. The 22800 straddle for the 13 Oct expiry costs ₹308.15 (125.15 call + 183.00 put), which is the market pricing a one-standard-deviation move of about ±308 points, ±1.35%, over the 7.0 days to expiry. Read that as the expected range: 22,468 to 23,084. Roughly two expiries in three should finish inside it; the third is where the money is made and lost.
India VIX at 13.62 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 steep (+4.5 IV points, puts over calls two strikes out): the crowd is paying for downside, so put spreads are richer to sell than call spreads.
Priced off this chain, an iron condor collects ₹4,472 a lot with a maximum loss of ₹2,028 and breakevens at 22,631 / 22,969. The short strangle underneath it collects ₹14,277 — ₹9,805 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 ₹20,030 a lot and needs NIFTY beyond 22,492 or 23,108 at expiry to pay. It bleeds about ₹1,432 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.
Elsewhere: BANKNIFTY 55,128 with a straddle of ₹1,565 (±2.84%, expiry 27 Oct); SENSEX 73,068 with a straddle of ₹666 (±0.91%, 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 22700 PE @ 135.00 · +1 22600 PE @ 96.50 · −1 22900 CE @ 84.65 · +1 23000 CE @ 54.35 | credit ₹4,472 | ₹4,472 | ₹2,028 | 22,631 / 22,969 |
| Short strangle −1 22900 CE @ 84.65 · −1 22700 PE @ 135.00 | credit ₹14,277 | ₹14,277 | unlimited | 22,480 / 23,120 |
| Long straddle +1 22800 CE @ 125.15 · +1 22800 PE @ 183.00 | debit ₹20,030 | unlimited | ₹20,030 | 22,492 / 23,108 |
| Bull call spread +1 22800 CE @ 125.15 · −1 22900 CE @ 84.65 | debit ₹2,632 | ₹3,868 | ₹2,632 | 22,840 |
Re-price any of these live in the builder →
What happened against what was priced
NIFTY closed at 22,776.10, +190 points (+0.84%) from the 22,585.75 it opened this brief at. The open straddle priced ±127; the day broke out of that range. The 22600 straddle itself went from ₹127.10 to ₹308.15 — movement or volatility outrunning time decay.
ATM implied volatility moved from 26.5% to 12.2%; India VIX from 14.47 to 13.62.
A short strangle put on at the open had breakevens of 22,446 and 22,754; spot finished outside 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.