Expiry brief · Friday, 09 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 | ||
|---|---|---|---|---|
| 18:00 | 🇨🇦 | high | Employment Change | 6.1K |
| 18:00 | 🇨🇦 | high | Unemployment Rate | 6.5% |
| 19:30 | 🇺🇸 | medium | Prelim UoM Consumer Sentiment | 47.5 |
| 19:30 | 🇺🇸 | medium | Prelim UoM Inflation Expectations |
Full week on the economic calendar →
At the open · 09:20 IST
Taken 09:20 IST · LIVE
NIFTY is at 22,332.65, +0.45% on the day. The 22350 straddle for the 13 Oct expiry costs ₹256.55 (135.90 call + 120.65 put), which is the market pricing a one-standard-deviation move of about ±257 points, ±1.15%, over the 4.3 days to expiry. Read that as the expected range: 22,076 to 22,589. Roughly two expiries in three should finish inside it; the third is where the money is made and lost.
India VIX at 14.67 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 (-0.9 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 ₹4,033 a lot with a maximum loss of ₹2,467 and breakevens at 22,188 / 22,512. The short strangle underneath it collects ₹11,047 — ₹7,014 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 ₹16,676 a lot and needs NIFTY beyond 22,094 or 22,606 at expiry to pay. It bleeds about ₹1,957 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.
Strategies priced off this chain · NIFTY · lot 65
| Structure · legs (per share) | Net / lot | Max profit | Max loss | Breakevens |
|---|---|---|---|---|
| Iron condor −1 22250 PE @ 80.70 · +1 22150 PE @ 53.00 · −1 22450 CE @ 89.25 · +1 22550 CE @ 54.90 | credit ₹4,033 | ₹4,033 | ₹2,467 | 22,188 / 22,512 |
| Short strangle −1 22450 CE @ 89.25 · −1 22250 PE @ 80.70 | credit ₹11,047 | ₹11,047 | unlimited | 22,080 / 22,620 |
| Long straddle +1 22350 CE @ 135.90 · +1 22350 PE @ 120.65 | debit ₹16,676 | unlimited | ₹16,676 | 22,094 / 22,606 |
| Bull call spread +1 22350 CE @ 135.90 · −1 22450 CE @ 89.25 | debit ₹3,032 | ₹3,468 | ₹3,032 | 22,397 |
Re-price any of these live in the builder →
At the close · 15:35 IST
Taken 15:35 IST · LIVE
NIFTY is at 22,520.45, +1.30% on the day. The 22500 straddle for the 13 Oct expiry costs ₹216.25 (137.80 call + 78.45 put), which is the market pricing a one-standard-deviation move of about ±216 points, ±0.96%, over the 4.0 days to expiry. Read that as the expected range: 22,304 to 22,737. Roughly two expiries in three should finish inside it; the third is where the money is made and lost.
India VIX at 14.39 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 (-0.8 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 ₹3,682 a lot with a maximum loss of ₹2,818 and breakevens at 22,343 / 22,657. The short strangle underneath it collects ₹8,684 — ₹5,002 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 ₹14,056 a lot and needs NIFTY beyond 22,284 or 22,716 at expiry to pay. It bleeds about ₹1,753 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 55,257 with a straddle of ₹1,446 (±2.62%, expiry 27 Oct); SENSEX 72,472 with a straddle of ₹981 (±1.35%, 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 22400 PE @ 50.05 · +1 22300 PE @ 31.80 · −1 22600 CE @ 83.55 · +1 22700 CE @ 45.15 | credit ₹3,682 | ₹3,682 | ₹2,818 | 22,343 / 22,657 |
| Short strangle −1 22600 CE @ 83.55 · −1 22400 PE @ 50.05 | credit ₹8,684 | ₹8,684 | unlimited | 22,266 / 22,734 |
| Long straddle +1 22500 CE @ 137.80 · +1 22500 PE @ 78.45 | debit ₹14,056 | unlimited | ₹14,056 | 22,284 / 22,716 |
| Bull call spread +1 22500 CE @ 137.80 · −1 22600 CE @ 83.55 | debit ₹3,526 | ₹2,974 | ₹3,526 | 22,554 |
Re-price any of these live in the builder →
What happened against what was priced
NIFTY closed at 22,520.45, +188 points (+0.84%) from the 22,332.65 it opened this brief at. The open straddle priced ±257; the day stayed inside that range. The 22350 straddle itself went from ₹256.55 to ₹216.25 — time decay winning over movement.
ATM implied volatility moved from 13.3% to 11.4%; India VIX from 14.67 to 14.39.
A short strangle put on at the open had breakevens of 22,080 and 22,620; 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.