Expiry brief · Wednesday, 07 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 | |
| 10:00 | 🇮🇳 | high | RBI Monetary Policy decision (repo rate) | |
| 22:30 | 🇺🇸 | medium | President Trump Speaks | |
| 23:30 | 🇺🇸 | high | FOMC Meeting Minutes |
Full week on the economic calendar →
At the open · 09:20 IST
Taken 09:20 IST · LIVE
NIFTY is at 22,620.05, -0.69% on the day. The 22600 straddle for the 13 Oct expiry costs ₹317.95 (166.15 call + 151.80 put), which is the market pricing a one-standard-deviation move of about ±318 points, ±1.41%, over the 6.3 days to expiry. Read that as the expected range: 22,302 to 22,938. Roughly two expiries in three should finish inside it; the third is where the money is made and lost.
India VIX at 14.04 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 (+2.7 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 ₹4,527 a lot with a maximum loss of ₹1,973 and breakevens at 22,430 / 22,770. The short strangle underneath it collects ₹14,788 — ₹10,261 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 ₹20,667 a lot and needs NIFTY beyond 22,282 or 22,918 at expiry to pay. It bleeds about ₹1,652 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 22,600, the floor.
Elsewhere: BANKNIFTY 54,802 with a straddle of ₹1,594 (±2.91%, expiry 27 Oct); SENSEX 72,651 with a straddle of ₹671 (±0.92%, 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 @ 110.55 · +1 22400 PE @ 79.25 · −1 22700 CE @ 116.95 · +1 22800 CE @ 78.60 | credit ₹4,527 | ₹4,527 | ₹1,973 | 22,430 / 22,770 |
| Short strangle −1 22700 CE @ 116.95 · −1 22500 PE @ 110.55 | credit ₹14,788 | ₹14,788 | unlimited | 22,272 / 22,928 |
| Long straddle +1 22600 CE @ 166.15 · +1 22600 PE @ 151.80 | debit ₹20,667 | unlimited | ₹20,667 | 22,282 / 22,918 |
| Bull call spread +1 22600 CE @ 166.15 · −1 22700 CE @ 116.95 | debit ₹3,198 | ₹3,302 | ₹3,198 | 22,649 |
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 22,603.05, -0.76% on the day. The 22600 straddle for the 13 Oct expiry costs ₹277.45 (129.45 call + 148.00 put), which is the market pricing a one-standard-deviation move of about ±277 points, ±1.23%, over the 6.0 days to expiry. Read that as the expected range: 22,326 to 22,880. Roughly two expiries in three should finish inside it; the third is where the money is made and lost.
India VIX at 13.93 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 (+3.7 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 ₹4,228 a lot with a maximum loss of ₹2,272 and breakevens at 22,435 / 22,765. The short strangle underneath it collects ₹12,269 — ₹8,041 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 ₹18,034 a lot and needs NIFTY beyond 22,322 or 22,878 at expiry to pay. It bleeds about ₹1,510 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 22,600, the floor.
Elsewhere: BANKNIFTY 55,056 with a straddle of ₹1,527 (±2.77%, expiry 27 Oct); SENSEX 72,639 with a straddle of ₹482 (±0.66%, 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 @ 103.80 · +1 22400 PE @ 71.00 · −1 22700 CE @ 84.95 · +1 22800 CE @ 52.70 | credit ₹4,228 | ₹4,228 | ₹2,272 | 22,435 / 22,765 |
| Short strangle −1 22700 CE @ 84.95 · −1 22500 PE @ 103.80 | credit ₹12,269 | ₹12,269 | unlimited | 22,311 / 22,889 |
| Long straddle +1 22600 CE @ 129.45 · +1 22600 PE @ 148.00 | debit ₹18,034 | unlimited | ₹18,034 | 22,322 / 22,878 |
| Bull call spread +1 22600 CE @ 129.45 · −1 22700 CE @ 84.95 | debit ₹2,892 | ₹3,608 | ₹2,892 | 22,644 |
Re-price any of these live in the builder →
What happened against what was priced
NIFTY closed at 22,603.05, -17 points (-0.08%) from the 22,620.05 it opened this brief at. The open straddle priced ±318; the day stayed inside that range. The 22600 straddle itself went from ₹317.95 to ₹277.45 — time decay winning over movement.
ATM implied volatility moved from 13.4% to 12.0%; India VIX from 14.04 to 13.93.
A short strangle put on at the open had breakevens of 22,272 and 22,928; 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.