Expiry brief · Thursday, 15 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 | ||
|---|---|---|---|---|
| 06:00 | 🇦🇺 | high | Employment Change | 19.6K |
| 06:00 | 🇦🇺 | high | Unemployment Rate | 4.6% |
| 11:30 | 🇬🇧 | high | GDP m/m | -0.1% |
| 18:00 | 🇺🇸 | high | Core PPI m/m | 0.3% |
| 18:00 | 🇺🇸 | high | Core Retail Sales m/m | 0.6% |
| 18:00 | 🇺🇸 | high | PPI m/m | 0.6% |
| 18:00 | 🇺🇸 | high | Retail Sales m/m | 0.3% |
| 18:00 | 🇺🇸 | medium | Philly Fed Manufacturing Index | 28.2 |
| 18:00 | 🇺🇸 | medium | Unemployment Claims | 199K |
Full week on the economic calendar →
At the open · 09:20 IST
Taken 09:20 IST · LIVE
NIFTY is at 22,723.05, +0.44% on the day. The 22700 straddle for the 19 Oct expiry costs ₹266.45 (138.30 call + 128.15 put), which is the market pricing a one-standard-deviation move of about ±266 points, ±1.17%, over the 4.3 days to expiry. Read that as the expected range: 22,457 to 22,990. Roughly two expiries in three should finish inside it; the third is where the money is made and lost.
India VIX at 14.72 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 (+3.2 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 ₹4,137 a lot with a maximum loss of ₹2,363 and breakevens at 22,536 / 22,864. The short strangle underneath it collects ₹11,599 — ₹7,462 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 ₹17,319 a lot and needs NIFTY beyond 22,434 or 22,966 at expiry to pay. It bleeds about ₹2,028 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 55,467 with a straddle of ₹1,250 (±2.25%, expiry 27 Oct); SENSEX 73,146 with a straddle of ₹442 (±0.60%, 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 @ 88.40 · +1 22500 PE @ 59.70 · −1 22800 CE @ 90.05 · +1 22900 CE @ 55.10 | credit ₹4,137 | ₹4,137 | ₹2,363 | 22,536 / 22,864 |
| Short strangle −1 22800 CE @ 90.05 · −1 22600 PE @ 88.40 | credit ₹11,599 | ₹11,599 | unlimited | 22,422 / 22,978 |
| Long straddle +1 22700 CE @ 138.30 · +1 22700 PE @ 128.15 | debit ₹17,319 | unlimited | ₹17,319 | 22,434 / 22,966 |
| Bull call spread +1 22700 CE @ 138.30 · −1 22800 CE @ 90.05 | debit ₹3,136 | ₹3,364 | ₹3,136 | 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 22,997.35, +1.66% on the day. The 23000 straddle for the 19 Oct expiry costs ₹230.60 (95.70 call + 134.90 put), which is the market pricing a one-standard-deviation move of about ±231 points, ±1.00%, over the 4.0 days to expiry. Read that as the expected range: 22,767 to 23,228. Roughly two expiries in three should finish inside it; the third is where the money is made and lost.
India VIX at 13.97 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 (+5.0 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 ₹3,646 a lot with a maximum loss of ₹2,854 and breakevens at 22,844 / 23,156. The short strangle underneath it collects ₹9,493 — ₹5,847 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 ₹14,989 a lot and needs NIFTY beyond 22,769 or 23,231 at expiry to pay. It bleeds about ₹1,880 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 55,810 with a straddle of ₹1,128 (±2.02%, expiry 27 Oct); SENSEX 74,316 with a straddle of ₹1,044 (±1.40%, expiry 22 Oct).
Strategies priced off this chain · NIFTY · lot 65
| Structure · legs (per share) | Net / lot | Max profit | Max loss | Breakevens |
|---|---|---|---|---|
| Iron condor −1 22900 PE @ 90.35 · +1 22800 PE @ 60.00 · −1 23100 CE @ 55.70 · +1 23200 CE @ 29.95 | credit ₹3,646 | ₹3,646 | ₹2,854 | 22,844 / 23,156 |
| Short strangle −1 23100 CE @ 55.70 · −1 22900 PE @ 90.35 | credit ₹9,493 | ₹9,493 | unlimited | 22,754 / 23,246 |
| Long straddle +1 23000 CE @ 95.70 · +1 23000 PE @ 134.90 | debit ₹14,989 | unlimited | ₹14,989 | 22,769 / 23,231 |
| Bull call spread +1 23000 CE @ 95.70 · −1 23100 CE @ 55.70 | debit ₹2,600 | ₹3,900 | ₹2,600 | 23,040 |
Re-price any of these live in the builder →
What happened against what was priced
NIFTY closed at 22,997.35, +274 points (+1.21%) from the 22,723.05 it opened this brief at. The open straddle priced ±266; the day broke out of that range. The 22700 straddle itself went from ₹266.45 to ₹230.60 — time decay winning over movement.
ATM implied volatility moved from 13.5% to 12.0%; India VIX from 14.72 to 13.97.
A short strangle put on at the open had breakevens of 22,422 and 22,978; 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.