Expiry brief · Tuesday, 13 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.
At the open · 09:20 IST
Taken 09:20 IST · LIVE
NIFTY is at 22,428.00, +0.29% on the day. The 22450 straddle for the 13 Oct expiry costs ₹140.05 (65.10 call + 74.95 put), which is the market pricing a one-standard-deviation move of about ±140 points, ±0.62%, over the 0.3 days to expiry. Read that as the expected range: 22,288 to 22,568. Roughly two expiries in three should finish inside it; the third is where the money is made and lost.
India VIX at 15.02 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 (-2.5 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 ₹2,438 a lot with a maximum loss of ₹4,062 and breakevens at 22,312 / 22,588. The short strangle underneath it collects ₹4,170 — ₹1,732 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 ₹9,103 a lot and needs NIFTY beyond 22,310 or 22,590 at expiry to pay. It bleeds about ₹17,454 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 22,300, the floor.
Elsewhere: BANKNIFTY 55,119 with a straddle of ₹1,352 (±2.45%, expiry 27 Oct); SENSEX 72,146 with a straddle of ₹838 (±1.16%, 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 22350 PE @ 35.40 · +1 22250 PE @ 15.50 · −1 22550 CE @ 28.75 · +1 22650 CE @ 11.15 | credit ₹2,438 | ₹2,438 | ₹4,062 | 22,312 / 22,588 |
| Short strangle −1 22550 CE @ 28.75 · −1 22350 PE @ 35.40 | credit ₹4,170 | ₹4,170 | unlimited | 22,286 / 22,614 |
| Long straddle +1 22450 CE @ 65.10 · +1 22450 PE @ 74.95 | debit ₹9,103 | unlimited | ₹9,103 | 22,310 / 22,590 |
| Bull call spread +1 22450 CE @ 65.10 · −1 22550 CE @ 28.75 | debit ₹2,363 | ₹4,137 | ₹2,363 | 22,486 |
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 22,721.95, +1.60% on the day. The 22700 straddle for the 19 Oct expiry costs ₹321.55 (220.70 call + 100.85 put), which is the market pricing a one-standard-deviation move of about ±322 points, ±1.42%, over the 6.0 days to expiry. Read that as the expected range: 22,400 to 23,044. Roughly two expiries in three should finish inside it; the third is where the money is made and lost.
India VIX at 14.17 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 (-4.3 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 ₹4,576 a lot with a maximum loss of ₹1,924 and breakevens at 22,530 / 22,870. The short strangle underneath it collects ₹15,067 — ₹10,491 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 ₹20,901 a lot and needs NIFTY beyond 22,378 or 23,022 at expiry to pay. It bleeds about ₹1,743 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 55,481 with a straddle of ₹1,301 (±2.34%, expiry 27 Oct); SENSEX 73,034 with a straddle of ₹711 (±0.97%, 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 22600 PE @ 73.00 · +1 22500 PE @ 53.00 · −1 22800 CE @ 158.80 · +1 22900 CE @ 108.40 | credit ₹4,576 | ₹4,576 | ₹1,924 | 22,530 / 22,870 |
| Short strangle −1 22800 CE @ 158.80 · −1 22600 PE @ 73.00 | credit ₹15,067 | ₹15,067 | unlimited | 22,368 / 23,032 |
| Long straddle +1 22700 CE @ 220.70 · +1 22700 PE @ 100.85 | debit ₹20,901 | unlimited | ₹20,901 | 22,378 / 23,022 |
| Bull call spread +1 22700 CE @ 220.70 · −1 22800 CE @ 158.80 | debit ₹4,024 | ₹2,476 | ₹4,024 | 22,762 |
Re-price any of these live in the builder →
What happened against what was priced
NIFTY closed at 22,721.95, +294 points (+1.31%) from the 22,428.00 it opened this brief at. The open straddle priced ±140; the day broke out of that range. The 22450 straddle itself went from ₹140.05 to ₹321.55 — movement or volatility outrunning time decay.
ATM implied volatility moved from 29.3% to 13.8%; India VIX from 15.02 to 14.17.
A short strangle put on at the open had breakevens of 22,286 and 22,614; 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.