Expiry brief · Friday, 23 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 | ||
|---|---|---|---|---|
| 19:15 | 🇺🇸 | medium | Flash Manufacturing PMI | 55.4 |
| 19:15 | 🇺🇸 | medium | Flash Services PMI | 57.9 |
| 19:30 | 🇺🇸 | medium | Revised UoM Consumer Sentiment | 46.3 |
| 19:30 | 🇺🇸 | medium | Revised UoM Inflation Expectations |
Full week on the economic calendar →
At the open · 09:20 IST
Taken 09:20 IST · LIVE
NIFTY is at 22,735.95, +0.21% on the day. The 22750 straddle for the 27 Oct expiry costs ₹322.00 (184.30 call + 137.70 put), which is the market pricing a one-standard-deviation move of about ±322 points, ±1.42%, over the 4.3 days to expiry. Read that as the expected range: 22,414 to 23,058. Roughly two expiries in three should finish inside it; the third is where the money is made and lost.
India VIX at 16.16 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 inverted (-3.0 IV points): calls are trading richer than puts, which usually means a chase for upside; call spreads carry the premium today.
Priced off this chain, an iron condor collects ₹4,579 a lot with a maximum loss of ₹1,921 and breakevens at 22,580 / 22,920. The short strangle underneath it collects ₹15,051 — ₹10,472 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 ₹20,930 a lot and needs NIFTY beyond 22,428 or 23,072 at expiry to pay. It bleeds about ₹2,458 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.
Strategies priced off this chain · NIFTY · lot 65
| Structure · legs (per share) | Net / lot | Max profit | Max loss | Breakevens |
|---|---|---|---|---|
| Iron condor −1 22650 PE @ 100.15 · +1 22550 PE @ 71.55 · −1 22850 CE @ 131.40 · +1 22950 CE @ 89.55 | credit ₹4,579 | ₹4,579 | ₹1,921 | 22,580 / 22,920 |
| Short strangle −1 22850 CE @ 131.40 · −1 22650 PE @ 100.15 | credit ₹15,051 | ₹15,051 | unlimited | 22,418 / 23,082 |
| Long straddle +1 22750 CE @ 184.30 · +1 22750 PE @ 137.70 | debit ₹20,930 | unlimited | ₹20,930 | 22,428 / 23,072 |
| Bull call spread +1 22750 CE @ 184.30 · −1 22850 CE @ 131.40 | debit ₹3,438 | ₹3,062 | ₹3,438 | 22,803 |
Re-price any of these live in the builder →
At the close · 15:35 IST
Taken 15:35 IST · LIVE
NIFTY is at 22,600.00, -0.39% on the day. The 22600 straddle for the 27 Oct expiry costs ₹271.75 (128.85 call + 142.90 put), which is the market pricing a one-standard-deviation move of about ±272 points, ±1.20%, over the 4.0 days to expiry. Read that as the expected range: 22,328 to 22,872. Roughly two expiries in three should finish inside it; the third is where the money is made and lost.
India VIX at 16.78 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 steep (+3.0 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 ₹4,053 a lot with a maximum loss of ₹2,447 and breakevens at 22,438 / 22,762. The short strangle underneath it collects ₹11,960 — ₹7,907 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 ₹17,664 a lot and needs NIFTY beyond 22,328 or 22,872 at expiry to pay. It bleeds about ₹2,214 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 54,287 with a straddle of ₹709 (±1.31%, expiry 27 Oct); SENSEX 73,124 with a straddle of ₹1,248 (±1.71%, 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 22500 PE @ 99.00 · +1 22400 PE @ 67.20 · −1 22700 CE @ 85.00 · +1 22800 CE @ 54.45 | credit ₹4,053 | ₹4,053 | ₹2,447 | 22,438 / 22,762 |
| Short strangle −1 22700 CE @ 85.00 · −1 22500 PE @ 99.00 | credit ₹11,960 | ₹11,960 | unlimited | 22,316 / 22,884 |
| Long straddle +1 22600 CE @ 128.85 · +1 22600 PE @ 142.90 | debit ₹17,664 | unlimited | ₹17,664 | 22,328 / 22,872 |
| Bull call spread +1 22600 CE @ 128.85 · −1 22700 CE @ 85.00 | debit ₹2,850 | ₹3,650 | ₹2,850 | 22,644 |
Re-price any of these live in the builder →
What happened against what was priced
NIFTY closed at 22,600.00, -136 points (-0.60%) from the 22,735.95 it opened this brief at. The open straddle priced ±322; the day stayed inside that range. The 22750 straddle itself went from ₹322.00 to ₹271.75 — time decay winning over movement.
ATM implied volatility moved from 16.4% to 14.4%; India VIX from 16.16 to 16.78.
A short strangle put on at the open had breakevens of 22,418 and 23,082; 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.