Expiry brief · Wednesday, 21 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 | ||
|---|---|---|---|---|
| 11:30 | 🇬🇧 | high | CPI y/y | 3.4% |
Full week on the economic calendar →
At the open · 09:20 IST
Taken 09:20 IST · LIVE
NIFTY is at 23,042.10, +0.67% on the day. The 23050 straddle for the 27 Oct expiry costs ₹343.60 (177.55 call + 166.05 put), which is the market pricing a one-standard-deviation move of about ±344 points, ±1.49%, over the 6.3 days to expiry. Read that as the expected range: 22,698 to 23,386. Roughly two expiries in three should finish inside it; the third is where the money is made and lost.
India VIX at 14.90 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 (+0.9 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 ₹4,674 a lot with a maximum loss of ₹1,826 and breakevens at 22,878 / 23,222. The short strangle underneath it collects ₹16,464 — ₹11,790 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 ₹22,334 a lot and needs NIFTY beyond 22,706 or 23,394 at expiry to pay. It bleeds about ₹1,789 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 23,500 — the strike writers are defending as resistance; the largest put open interest below sits at 23,000, the floor.
Strategies priced off this chain · NIFTY · lot 65
| Structure · legs (per share) | Net / lot | Max profit | Max loss | Breakevens |
|---|---|---|---|---|
| Iron condor −1 22950 PE @ 124.10 · +1 22850 PE @ 91.65 · −1 23150 CE @ 129.20 · +1 23250 CE @ 89.75 | credit ₹4,674 | ₹4,674 | ₹1,826 | 22,878 / 23,222 |
| Short strangle −1 23150 CE @ 129.20 · −1 22950 PE @ 124.10 | credit ₹16,464 | ₹16,464 | unlimited | 22,697 / 23,403 |
| Long straddle +1 23050 CE @ 177.55 · +1 23050 PE @ 166.05 | debit ₹22,334 | unlimited | ₹22,334 | 22,706 / 23,394 |
| Bull call spread +1 23050 CE @ 177.55 · −1 23150 CE @ 129.20 | debit ₹3,143 | ₹3,357 | ₹3,143 | 23,098 |
Re-price any of these live in the builder →
At the close · 15:35 IST
Taken 15:35 IST · LIVE
NIFTY is at 22,811.35, -0.34% on the day. The 22800 straddle for the 27 Oct expiry costs ₹333.55 (137.35 call + 196.20 put), which is the market pricing a one-standard-deviation move of about ±334 points, ±1.46%, over the 6.0 days to expiry. Read that as the expected range: 22,478 to 23,145. Roughly two expiries in three should finish inside it; the third is where the money is made and lost.
India VIX at 15.68 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 (+6.6 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 ₹4,492 a lot with a maximum loss of ₹2,008 and breakevens at 22,631 / 22,969. The short strangle underneath it collects ₹15,912 — ₹11,420 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 ₹21,681 a lot and needs NIFTY beyond 22,466 or 23,134 at expiry to pay. It bleeds about ₹1,811 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 54,977 with a straddle of ₹862 (±1.57%, expiry 27 Oct); SENSEX 73,710 with a straddle of ₹592 (±0.80%, 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 22700 PE @ 144.85 · +1 22600 PE @ 103.75 · −1 22900 CE @ 99.95 · +1 23000 CE @ 71.95 | credit ₹4,492 | ₹4,492 | ₹2,008 | 22,631 / 22,969 |
| Short strangle −1 22900 CE @ 99.95 · −1 22700 PE @ 144.85 | credit ₹15,912 | ₹15,912 | unlimited | 22,455 / 23,145 |
| Long straddle +1 22800 CE @ 137.35 · +1 22800 PE @ 196.20 | debit ₹21,681 | unlimited | ₹21,681 | 22,466 / 23,134 |
| Bull call spread +1 22800 CE @ 137.35 · −1 22900 CE @ 99.95 | debit ₹2,431 | ₹4,069 | ₹2,431 | 22,837 |
Re-price any of these live in the builder →
What happened against what was priced
NIFTY closed at 22,811.35, -231 points (-1.00%) from the 23,042.10 it opened this brief at. The open straddle priced ±344; the day stayed inside that range. The 23050 straddle itself went from ₹343.60 to ₹333.55 — time decay winning over movement.
ATM implied volatility moved from 14.3% to 14.2%; India VIX from 14.90 to 15.68.
A short strangle put on at the open had breakevens of 22,697 and 23,403; 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.