Expiry brief · Thursday, 08 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 | ||
|---|---|---|---|---|
| 14:00 | 🇺🇸 | medium | FOMC Member Waller Speaks | |
| 17:45 | 🇬🇧 | high | BOE Gov Bailey Speaks | |
| 18:00 | 🇺🇸 | medium | Unemployment Claims | 200K |
Full week on the economic calendar →
At the open · 09:20 IST
Taken 09:20 IST · LIVE
NIFTY is at 22,535.25, -0.30% on the day. The 22550 straddle for the 13 Oct expiry costs ₹269.00 (124.85 call + 144.15 put), which is the market pricing a one-standard-deviation move of about ±269 points, ±1.19%, over the 5.3 days to expiry. Read that as the expected range: 22,266 to 22,804. Roughly two expiries in three should finish inside it; the third is where the money is made and lost.
India VIX at 14.07 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 (+2.2 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 ₹4,157 a lot with a maximum loss of ₹2,343 and breakevens at 22,386 / 22,714. The short strangle underneath it collects ₹11,814 — ₹7,657 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 ₹17,485 a lot and needs NIFTY beyond 22,281 or 22,819 at expiry to pay. It bleeds about ₹1,665 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 @ 99.75 · +1 22350 PE @ 66.80 · −1 22650 CE @ 82.00 · +1 22750 CE @ 51.00 | credit ₹4,157 | ₹4,157 | ₹2,343 | 22,386 / 22,714 |
| Short strangle −1 22650 CE @ 82.00 · −1 22450 PE @ 99.75 | credit ₹11,814 | ₹11,814 | unlimited | 22,268 / 22,832 |
| Long straddle +1 22550 CE @ 124.85 · +1 22550 PE @ 144.15 | debit ₹17,485 | unlimited | ₹17,485 | 22,281 / 22,819 |
| Bull call spread +1 22550 CE @ 124.85 · −1 22650 CE @ 82.00 | debit ₹2,785 | ₹3,715 | ₹2,785 | 22,593 |
Re-price any of these live in the builder →
At the close · 15:35 IST
Taken 15:35 IST · LIVE
NIFTY is at 22,231.80, -1.64% on the day. The 22250 straddle for the 13 Oct expiry costs ₹282.85 (130.85 call + 152.00 put), which is the market pricing a one-standard-deviation move of about ±283 points, ±1.27%, over the 5.0 days to expiry. Read that as the expected range: 21,949 to 22,515. Roughly two expiries in three should finish inside it; the third is where the money is made and lost.
India VIX at 15.29 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 (+2.2 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 ₹4,218 a lot with a maximum loss of ₹2,282 and breakevens at 22,085 / 22,415. The short strangle underneath it collects ₹12,639 — ₹8,421 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 ₹18,385 a lot and needs NIFTY beyond 21,967 or 22,533 at expiry to pay. It bleeds about ₹1,840 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 22,500 — the strike writers are defending as resistance; the largest put open interest below sits at 22,000, the floor.
Elsewhere: BANKNIFTY 54,515 with a straddle of ₹1,614 (±2.96%, expiry 27 Oct); SENSEX 71,593 with a straddle of ₹1,199 (±1.67%, expiry 15 Oct).
Strategies priced off this chain · NIFTY · lot 65
| Structure · legs (per share) | Net / lot | Max profit | Max loss | Breakevens |
|---|---|---|---|---|
| Iron condor −1 22150 PE @ 107.30 · +1 22050 PE @ 73.40 · −1 22350 CE @ 87.15 · +1 22450 CE @ 56.15 | credit ₹4,218 | ₹4,218 | ₹2,282 | 22,085 / 22,415 |
| Short strangle −1 22350 CE @ 87.15 · −1 22150 PE @ 107.30 | credit ₹12,639 | ₹12,639 | unlimited | 21,956 / 22,544 |
| Long straddle +1 22250 CE @ 130.85 · +1 22250 PE @ 152.00 | debit ₹18,385 | unlimited | ₹18,385 | 21,967 / 22,533 |
| Bull call spread +1 22250 CE @ 130.85 · −1 22350 CE @ 87.15 | debit ₹2,840 | ₹3,660 | ₹2,840 | 22,294 |
Re-price any of these live in the builder →
What happened against what was priced
NIFTY closed at 22,231.80, -303 points (-1.35%) from the 22,535.25 it opened this brief at. The open straddle priced ±269; the day broke out of that range. The 22550 straddle itself went from ₹269.00 to ₹282.85 — movement or volatility outrunning time decay.
ATM implied volatility moved from 12.5% to 13.6%; India VIX from 14.07 to 15.29.
A short strangle put on at the open had breakevens of 22,268 and 22,832; 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.