Expiry brief · Wednesday, 14 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 | ||
|---|---|---|---|---|
| 12:00 | 🇮🇳 | medium | WPI inflation y/y | |
| 18:00 | 🇺🇸 | high | Core CPI m/m | 0.2% |
| 18:00 | 🇺🇸 | high | Core CPI y/y | 2.5% |
| 18:00 | 🇺🇸 | high | CPI m/m | 0.6% |
| 18:00 | 🇺🇸 | high | CPI y/y | 3.6% |
Full week on the economic calendar →
At the open · 09:20 IST
Taken 09:20 IST · LIVE
NIFTY is at 22,679.10, -0.19% on the day. The 22700 straddle for the 19 Oct expiry costs ₹303.75 (150.85 call + 152.90 put), which is the market pricing a one-standard-deviation move of about ±304 points, ±1.34%, over the 5.3 days to expiry. Read that as the expected range: 22,375 to 22,983. Roughly two expiries in three should finish inside it; the third is where the money is made and lost.
India VIX at 14.52 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 (+1.0 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 ₹4,446 a lot with a maximum loss of ₹2,054 and breakevens at 22,532 / 22,868. The short strangle underneath it collects ₹13,978 — ₹9,532 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 ₹19,744 a lot and needs NIFTY beyond 22,396 or 23,004 at expiry to pay. It bleeds about ₹1,877 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 55,329 with a straddle of ₹1,282 (±2.32%, expiry 27 Oct); SENSEX 72,962 with a straddle of ₹682 (±0.93%, 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 @ 112.10 · +1 22500 PE @ 80.45 · −1 22800 CE @ 102.95 · +1 22900 CE @ 66.20 | credit ₹4,446 | ₹4,446 | ₹2,054 | 22,532 / 22,868 |
| Short strangle −1 22800 CE @ 102.95 · −1 22600 PE @ 112.10 | credit ₹13,978 | ₹13,978 | unlimited | 22,385 / 23,015 |
| Long straddle +1 22700 CE @ 150.85 · +1 22700 PE @ 152.90 | debit ₹19,744 | unlimited | ₹19,744 | 22,396 / 23,004 |
| Bull call spread +1 22700 CE @ 150.85 · −1 22800 CE @ 102.95 | debit ₹3,114 | ₹3,386 | ₹3,114 | 22,748 |
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 22,622.70, -0.44% on the day. The 22600 straddle for the 19 Oct expiry costs ₹279.90 (148.95 call + 130.95 put), which is the market pricing a one-standard-deviation move of about ±280 points, ±1.24%, over the 5.0 days to expiry. Read that as the expected range: 22,343 to 22,903. 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 mild (+2.4 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 22,435 / 22,765. The short strangle underneath it collects ₹12,522 — ₹8,304 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 ₹18,194 a lot and needs NIFTY beyond 22,320 or 22,880 at expiry to pay. It bleeds about ₹1,817 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 55,316 with a straddle of ₹1,252 (±2.26%, expiry 27 Oct); SENSEX 72,782 with a straddle of ₹541 (±0.74%, 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 22500 PE @ 91.45 · +1 22400 PE @ 62.60 · −1 22700 CE @ 101.20 · +1 22800 CE @ 65.15 | credit ₹4,218 | ₹4,218 | ₹2,282 | 22,435 / 22,765 |
| Short strangle −1 22700 CE @ 101.20 · −1 22500 PE @ 91.45 | credit ₹12,522 | ₹12,522 | unlimited | 22,307 / 22,893 |
| Long straddle +1 22600 CE @ 148.95 · +1 22600 PE @ 130.95 | debit ₹18,194 | unlimited | ₹18,194 | 22,320 / 22,880 |
| Bull call spread +1 22600 CE @ 148.95 · −1 22700 CE @ 101.20 | debit ₹3,104 | ₹3,396 | ₹3,104 | 22,648 |
Re-price any of these live in the builder →
What happened against what was priced
NIFTY closed at 22,622.70, -56 points (-0.25%) from the 22,679.10 it opened this brief at. The open straddle priced ±304; the day stayed inside that range. The 22700 straddle itself went from ₹303.75 to ₹279.90 — time decay winning over movement.
ATM implied volatility moved from 14.0% to 13.2%; India VIX from 14.52 to 14.66.
A short strangle put on at the open had breakevens of 22,385 and 23,015; 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.