Expiry brief · Friday, 16 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 | ||
|---|---|---|---|---|
| 07:30 | 🇬🇧 | high | BOE Gov Bailey Speaks | |
| 09:00 | 🇺🇸 | high | Fed Chairman Warsh Speaks |
Full week on the economic calendar →
At the open · 09:20 IST
Taken 09:20 IST · LIVE
NIFTY is at 22,973.80, -0.10% on the day. The 22950 straddle for the 19 Oct expiry costs ₹245.20 (121.80 call + 123.40 put), which is the market pricing a one-standard-deviation move of about ±245 points, ±1.07%, over the 3.3 days to expiry. Read that as the expected range: 22,729 to 23,219. Roughly two expiries in three should finish inside it; the third is where the money is made and lost.
India VIX at 14.40 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 (+4.0 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 ₹4,004 a lot with a maximum loss of ₹2,496 and breakevens at 22,788 / 23,112. The short strangle underneath it collects ₹10,394 — ₹6,390 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 ₹15,938 a lot and needs NIFTY beyond 22,705 or 23,195 at expiry to pay. It bleeds about ₹2,435 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 55,665 with a straddle of ₹1,170 (±2.10%, expiry 27 Oct); SENSEX 74,165 with a straddle of ₹1,132 (±1.53%, 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 22850 PE @ 82.15 · +1 22750 PE @ 52.95 · −1 23050 CE @ 77.75 · +1 23150 CE @ 45.35 | credit ₹4,004 | ₹4,004 | ₹2,496 | 22,788 / 23,112 |
| Short strangle −1 23050 CE @ 77.75 · −1 22850 PE @ 82.15 | credit ₹10,394 | ₹10,394 | unlimited | 22,690 / 23,210 |
| Long straddle +1 22950 CE @ 121.80 · +1 22950 PE @ 123.40 | debit ₹15,938 | unlimited | ₹15,938 | 22,705 / 23,195 |
| Bull call spread +1 22950 CE @ 121.80 · −1 23050 CE @ 77.75 | debit ₹2,863 | ₹3,637 | ₹2,863 | 22,994 |
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 23,146.15, +0.65% on the day. The 23150 straddle for the 19 Oct expiry costs ₹184.55 (71.85 call + 112.70 put), which is the market pricing a one-standard-deviation move of about ±185 points, ±0.80%, over the 3.0 days to expiry. Read that as the expected range: 22,962 to 23,331. Roughly two expiries in three should finish inside it; the third is where the money is made and lost.
India VIX at 14.04 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 (+4.9 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 ₹3,091 a lot with a maximum loss of ₹3,409 and breakevens at 23,002 / 23,298. The short strangle underneath it collects ₹6,776 — ₹3,685 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 ₹11,996 a lot and needs NIFTY beyond 22,966 or 23,334 at expiry to pay. It bleeds about ₹2,007 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 23,200 — the strike writers are defending as resistance; the largest put open interest below sits at 23,000, the floor.
Elsewhere: BANKNIFTY 55,844 with a straddle of ₹1,072 (±1.92%, expiry 27 Oct); SENSEX 74,729 with a straddle of ₹963 (±1.29%, 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 23050 PE @ 67.85 · +1 22950 PE @ 39.60 · −1 23250 CE @ 36.40 · +1 23350 CE @ 17.10 | credit ₹3,091 | ₹3,091 | ₹3,409 | 23,002 / 23,298 |
| Short strangle −1 23250 CE @ 36.40 · −1 23050 PE @ 67.85 | credit ₹6,776 | ₹6,776 | unlimited | 22,946 / 23,354 |
| Long straddle +1 23150 CE @ 71.85 · +1 23150 PE @ 112.70 | debit ₹11,996 | unlimited | ₹11,996 | 22,966 / 23,334 |
| Bull call spread +1 23150 CE @ 71.85 · −1 23250 CE @ 36.40 | debit ₹2,304 | ₹4,196 | ₹2,304 | 23,186 |
Re-price any of these live in the builder →
What happened against what was priced
NIFTY closed at 23,146.15, +172 points (+0.75%) from the 22,973.80 it opened this brief at. The open straddle priced ±245; the day stayed inside that range. The 22950 straddle itself went from ₹245.20 to ₹184.55 — time decay winning over movement.
ATM implied volatility moved from 14.1% to 11.0%; India VIX from 14.40 to 14.04.
A short strangle put on at the open had breakevens of 22,690 and 23,210; 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.