Expiry brief · Thursday, 22 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 | ||
|---|---|---|---|---|
| 03:15 | 🇳🇿 | high | CPI q/q | 0.8% |
| 18:00 | 🇺🇸 | medium | Unemployment Claims | 200K |
Full week on the economic calendar →
At the open · 09:20 IST
Taken 09:20 IST · LIVE
NIFTY is at 22,600.80, -0.92% on the day. The 22600 straddle for the 27 Oct expiry costs ₹345.25 (172.95 call + 172.30 put), which is the market pricing a one-standard-deviation move of about ±345 points, ±1.53%, over the 5.3 days to expiry. Read that as the expected range: 22,256 to 22,946. Roughly two expiries in three should finish inside it; the third is where the money is made and lost.
India VIX at 16.49 is elevated: the market is paying up for protection, which is the environment in which defined-risk premium selling is best paid — and in which naked selling gets hurt. Skew is mild (+1.9 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 ₹4,599 a lot with a maximum loss of ₹1,901 and breakevens at 22,429 / 22,771. The short strangle underneath it collects ₹16,594 — ₹11,995 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 ₹22,441 a lot and needs NIFTY beyond 22,255 or 22,945 at expiry to pay. It bleeds about ₹2,137 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 54,699 with a straddle of ₹907 (±1.66%, expiry 27 Oct); SENSEX 73,156 with a straddle of ₹551 (±0.75%, 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 22500 PE @ 128.40 · +1 22400 PE @ 92.75 · −1 22700 CE @ 126.90 · +1 22800 CE @ 91.80 | credit ₹4,599 | ₹4,599 | ₹1,901 | 22,429 / 22,771 |
| Short strangle −1 22700 CE @ 126.90 · −1 22500 PE @ 128.40 | credit ₹16,594 | ₹16,594 | unlimited | 22,245 / 22,955 |
| Long straddle +1 22600 CE @ 172.95 · +1 22600 PE @ 172.30 | debit ₹22,441 | unlimited | ₹22,441 | 22,255 / 22,945 |
| Bull call spread +1 22600 CE @ 172.95 · −1 22700 CE @ 126.90 | debit ₹2,993 | ₹3,507 | ₹2,993 | 22,646 |
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 22,687.65, -0.54% on the day. The 22700 straddle for the 27 Oct expiry costs ₹306.60 (159.70 call + 146.90 put), which is the market pricing a one-standard-deviation move of about ±307 points, ±1.35%, over the 5.0 days to expiry. Read that as the expected range: 22,381 to 22,994. Roughly two expiries in three should finish inside it; the third is where the money is made and lost.
India VIX at 15.81 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 (+0.1 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 ₹4,410 a lot with a maximum loss of ₹2,090 and breakevens at 22,532 / 22,868. The short strangle underneath it collects ₹14,072 — ₹9,662 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 ₹19,929 a lot and needs NIFTY beyond 22,393 or 23,007 at expiry to pay. It bleeds about ₹1,996 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 54,926 with a straddle of ₹797 (±1.45%, expiry 27 Oct); SENSEX 73,249 with a straddle of ₹1,290 (±1.76%, expiry 29 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 @ 105.45 · +1 22500 PE @ 74.10 · −1 22800 CE @ 111.05 · +1 22900 CE @ 74.55 | credit ₹4,410 | ₹4,410 | ₹2,090 | 22,532 / 22,868 |
| Short strangle −1 22800 CE @ 111.05 · −1 22600 PE @ 105.45 | credit ₹14,072 | ₹14,072 | unlimited | 22,384 / 23,016 |
| Long straddle +1 22700 CE @ 159.70 · +1 22700 PE @ 146.90 | debit ₹19,929 | unlimited | ₹19,929 | 22,393 / 23,007 |
| Bull call spread +1 22700 CE @ 159.70 · −1 22800 CE @ 111.05 | debit ₹3,162 | ₹3,338 | ₹3,162 | 22,749 |
Re-price any of these live in the builder →
What happened against what was priced
NIFTY closed at 22,687.65, +87 points (+0.38%) from the 22,600.80 it opened this brief at. The open straddle priced ±345; the day stayed inside that range. The 22600 straddle itself went from ₹345.25 to ₹306.60 — time decay winning over movement.
ATM implied volatility moved from 15.9% to 14.5%; India VIX from 16.49 to 15.81.
A short strangle put on at the open had breakevens of 22,245 and 22,955; 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.