Expiry brief · Monday, 26 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 | ||
|---|---|---|---|---|
| 00:30 | 🇳🇿 | holiday | Bank Holiday |
Full week on the economic calendar →
At the open · 09:20 IST
Taken 09:20 IST · LIVE
NIFTY is at 22,438.05, -0.72% on the day. The 22450 straddle for the 27 Oct expiry costs ₹270.65 (154.55 call + 116.10 put), which is the market pricing a one-standard-deviation move of about ±271 points, ±1.21%, over the 1.3 days to expiry. Read that as the expected range: 22,167 to 22,709. Roughly two expiries in three should finish inside it; the third is where the money is made and lost.
India VIX at 17.79 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 (-5.9 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 ₹4,144 a lot with a maximum loss of ₹2,356 and breakevens at 22,286 / 22,614. The short strangle underneath it collects ₹11,879 — ₹7,735 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 ₹17,592 a lot and needs NIFTY beyond 22,179 or 22,721 at expiry to pay. It bleeds about ₹6,989 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 22,500 — the strike writers are defending as resistance; the largest put open interest below sits at 22,000, the floor.
Strategies priced off this chain · NIFTY · lot 65
| Structure · legs (per share) | Net / lot | Max profit | Max loss | Breakevens |
|---|---|---|---|---|
| Iron condor −1 22350 PE @ 78.90 · +1 22250 PE @ 51.90 · −1 22550 CE @ 103.85 · +1 22650 CE @ 67.10 | credit ₹4,144 | ₹4,144 | ₹2,356 | 22,286 / 22,614 |
| Short strangle −1 22550 CE @ 103.85 · −1 22350 PE @ 78.90 | credit ₹11,879 | ₹11,879 | unlimited | 22,167 / 22,733 |
| Long straddle +1 22450 CE @ 154.55 · +1 22450 PE @ 116.10 | debit ₹17,592 | unlimited | ₹17,592 | 22,179 / 22,721 |
| Bull call spread +1 22450 CE @ 154.55 · −1 22550 CE @ 103.85 | debit ₹3,296 | ₹3,204 | ₹3,296 | 22,501 |
Re-price any of these live in the builder →
At the close · 15:35 IST
Taken 15:35 IST · LIVE
NIFTY is at 22,753.20, +0.68% on the day. The 22750 straddle for the 27 Oct expiry costs ₹191.40 (107.20 call + 84.20 put), which is the market pricing a one-standard-deviation move of about ±191 points, ±0.84%, over the 1.0 days to expiry. Read that as the expected range: 22,562 to 22,945. Roughly two expiries in three should finish inside it; the third is where the money is made and lost.
India VIX at 17.13 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 (-1.1 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 ₹3,221 a lot with a maximum loss of ₹3,279 and breakevens at 22,600 / 22,900. The short strangle underneath it collects ₹7,023 — ₹3,802 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 ₹12,441 a lot and needs NIFTY beyond 22,559 or 22,941 at expiry to pay. It bleeds about ₹6,243 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 54,367 with a straddle of ₹476 (±0.88%, expiry 27 Oct); SENSEX 73,607 with a straddle of ₹1,083 (±1.47%, 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 22650 PE @ 48.95 · +1 22550 PE @ 29.15 · −1 22850 CE @ 59.10 · +1 22950 CE @ 29.35 | credit ₹3,221 | ₹3,221 | ₹3,279 | 22,600 / 22,900 |
| Short strangle −1 22850 CE @ 59.10 · −1 22650 PE @ 48.95 | credit ₹7,023 | ₹7,023 | unlimited | 22,542 / 22,958 |
| Long straddle +1 22750 CE @ 107.20 · +1 22750 PE @ 84.20 | debit ₹12,441 | unlimited | ₹12,441 | 22,559 / 22,941 |
| Bull call spread +1 22750 CE @ 107.20 · −1 22850 CE @ 59.10 | debit ₹3,126 | ₹3,374 | ₹3,126 | 22,798 |
Re-price any of these live in the builder →
What happened against what was priced
NIFTY closed at 22,753.20, +315 points (+1.40%) from the 22,438.05 it opened this brief at. The open straddle priced ±271; the day broke out of that range. The 22450 straddle itself went from ₹270.65 to ₹191.40 — time decay winning over movement.
ATM implied volatility moved from 25.8% to 20.2%; India VIX from 17.79 to 17.13.
A short strangle put on at the open had breakevens of 22,167 and 22,733; 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.