Expiry brief · Monday, 12 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 | ||
|---|---|---|---|---|
| 04:30 | 🇯🇵 | holiday | Bank Holiday | |
| 16:00 | 🇮🇳 | high | CPI y/y (inflation) | |
| 16:00 | 🇮🇳 | medium | Industrial Production (IIP) y/y | |
| 16:30 | 🇺🇸 | holiday | Bank Holiday | |
| 17:30 | 🇨🇦 | holiday | Bank Holiday |
Full week on the economic calendar →
At the open · 09:20 IST
Taken 09:20 IST · LIVE
NIFTY is at 22,588.50, +0.30% on the day. The 22600 straddle for the 13 Oct expiry costs ₹188.15 (104.75 call + 83.40 put), which is the market pricing a one-standard-deviation move of about ±188 points, ±0.83%, over the 1.3 days to expiry. Read that as the expected range: 22,400 to 22,777. Roughly two expiries in three should finish inside it; the third is where the money is made and lost.
India VIX at 14.66 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 (-2.3 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 ₹3,322 a lot with a maximum loss of ₹3,178 and breakevens at 22,449 / 22,751. The short strangle underneath it collects ₹6,832 — ₹3,510 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 ₹12,230 a lot and needs NIFTY beyond 22,412 or 22,788 at expiry to pay. It bleeds about ₹4,856 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 22500 PE @ 49.05 · +1 22400 PE @ 27.75 · −1 22700 CE @ 56.05 · +1 22800 CE @ 26.25 | credit ₹3,322 | ₹3,322 | ₹3,178 | 22,449 / 22,751 |
| Short strangle −1 22700 CE @ 56.05 · −1 22500 PE @ 49.05 | credit ₹6,832 | ₹6,832 | unlimited | 22,395 / 22,805 |
| Long straddle +1 22600 CE @ 104.75 · +1 22600 PE @ 83.40 | debit ₹12,230 | unlimited | ₹12,230 | 22,412 / 22,788 |
| Bull call spread +1 22600 CE @ 104.75 · −1 22700 CE @ 56.05 | debit ₹3,166 | ₹3,334 | ₹3,166 | 22,649 |
Re-price any of these live in the builder →
At the close · 15:35 IST
Taken 15:35 IST · LIVE
NIFTY is at 22,363.35, -0.70% on the day. The 22350 straddle for the 13 Oct expiry costs ₹154.55 (69.65 call + 84.90 put), which is the market pricing a one-standard-deviation move of about ±155 points, ±0.69%, over the 1.0 days to expiry. Read that as the expected range: 22,209 to 22,518. Roughly two expiries in three should finish inside it; the third is where the money is made and lost.
India VIX at 15.24 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 (+4.2 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 ₹2,584 a lot with a maximum loss of ₹3,916 and breakevens at 22,210 / 22,490. The short strangle underneath it collects ₹4,989 — ₹2,405 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 ₹10,046 a lot and needs NIFTY beyond 22,196 or 22,504 at expiry to pay. It bleeds about ₹5,020 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 22,000, the floor.
Elsewhere: BANKNIFTY 54,918 with a straddle of ₹1,422 (±2.59%, expiry 27 Oct); SENSEX 71,925 with a straddle of ₹879 (±1.22%, 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 22250 PE @ 41.45 · +1 22150 PE @ 18.25 · −1 22450 CE @ 35.30 · +1 22550 CE @ 18.75 | credit ₹2,584 | ₹2,584 | ₹3,916 | 22,210 / 22,490 |
| Short strangle −1 22450 CE @ 35.30 · −1 22250 PE @ 41.45 | credit ₹4,989 | ₹4,989 | unlimited | 22,173 / 22,527 |
| Long straddle +1 22350 CE @ 69.65 · +1 22350 PE @ 84.90 | debit ₹10,046 | unlimited | ₹10,046 | 22,196 / 22,504 |
| Bull call spread +1 22350 CE @ 69.65 · −1 22450 CE @ 35.30 | debit ₹2,233 | ₹4,267 | ₹2,233 | 22,384 |
Re-price any of these live in the builder →
What happened against what was priced
NIFTY closed at 22,363.35, -225 points (-1.00%) from the 22,588.50 it opened this brief at. The open straddle priced ±188; the day broke out of that range. The 22600 straddle itself went from ₹188.15 to ₹154.55 — time decay winning over movement.
ATM implied volatility moved from 17.8% to 16.5%; India VIX from 14.66 to 15.24.
A short strangle put on at the open had breakevens of 22,395 and 22,805; 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.