Expiry brief · Wednesday, 09 September 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.
At the open · 09:20 IST
Taken 09:20 IST · LIVE
NIFTY is at 23,504.80, -0.55% on the day. The 23500 straddle for the 15 Sep expiry costs ₹269.75 (162.65 call + 107.10 put), which is the market pricing a one-standard-deviation move of about ±270 points, ±1.15%, over the 6.3 days to expiry. Read that as the expected range: 23,235 to 23,775. Roughly two expiries in three should finish inside it; the third is where the money is made and lost.
India VIX at 11.50 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 inverted (-1.3 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 ₹4,140 a lot with a maximum loss of ₹2,360 and breakevens at 23,336 / 23,664. The short strangle underneath it collects ₹11,749 — ₹7,609 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 ₹17,534 a lot and needs NIFTY beyond 23,230 or 23,770 at expiry to pay. It bleeds about ₹1,408 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.
Elsewhere: BANKNIFTY 56,499 with a straddle of ₹1,371 (±2.43%, expiry 29 Sep); SENSEX 75,077 with a straddle of ₹541 (±0.72%, expiry 10 Sep).
Strategies priced off this chain · NIFTY · lot 65
| Structure · legs (per share) | Net / lot | Max profit | Max loss | Breakevens |
|---|---|---|---|---|
| Iron condor −1 23400 PE @ 70.75 · +1 23300 PE @ 46.05 · −1 23600 CE @ 110.00 · +1 23700 CE @ 71.00 | credit ₹4,140 | ₹4,140 | ₹2,360 | 23,336 / 23,664 |
| Short strangle −1 23600 CE @ 110.00 · −1 23400 PE @ 70.75 | credit ₹11,749 | ₹11,749 | unlimited | 23,219 / 23,781 |
| Long straddle +1 23500 CE @ 162.65 · +1 23500 PE @ 107.10 | debit ₹17,534 | unlimited | ₹17,534 | 23,230 / 23,770 |
| Bull call spread +1 23500 CE @ 162.65 · −1 23600 CE @ 110.00 | debit ₹3,422 | ₹3,078 | ₹3,422 | 23,553 |
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 23,431.50, -0.86% on the day. The 23450 straddle for the 15 Sep expiry costs ₹253.45 (147.30 call + 106.15 put), which is the market pricing a one-standard-deviation move of about ±253 points, ±1.08%, over the 6.0 days to expiry. Read that as the expected range: 23,178 to 23,685. Roughly two expiries in three should finish inside it; the third is where the money is made and lost.
India VIX at 11.99 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 inverted (-1.8 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 ₹3,968 a lot with a maximum loss of ₹2,532 and breakevens at 23,289 / 23,611. The short strangle underneath it collects ₹10,810 — ₹6,842 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 ₹16,474 a lot and needs NIFTY beyond 23,196 or 23,704 at expiry to pay. It bleeds about ₹1,376 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.
Elsewhere: BANKNIFTY 56,296 with a straddle of ₹1,357 (±2.41%, expiry 29 Sep); SENSEX 74,764 with a straddle of ₹481 (±0.64%, expiry 10 Sep).
Strategies priced off this chain · NIFTY · lot 65
| Structure · legs (per share) | Net / lot | Max profit | Max loss | Breakevens |
|---|---|---|---|---|
| Iron condor −1 23350 PE @ 70.25 · +1 23250 PE @ 45.95 · −1 23550 CE @ 96.05 · +1 23650 CE @ 59.30 | credit ₹3,968 | ₹3,968 | ₹2,532 | 23,289 / 23,611 |
| Short strangle −1 23550 CE @ 96.05 · −1 23350 PE @ 70.25 | credit ₹10,810 | ₹10,810 | unlimited | 23,184 / 23,716 |
| Long straddle +1 23450 CE @ 147.30 · +1 23450 PE @ 106.15 | debit ₹16,474 | unlimited | ₹16,474 | 23,196 / 23,704 |
| Bull call spread +1 23450 CE @ 147.30 · −1 23550 CE @ 96.05 | debit ₹3,331 | ₹3,169 | ₹3,331 | 23,501 |
Re-price any of these live in the builder →
What happened against what was priced
NIFTY closed at 23,431.50, -73 points (-0.31%) from the 23,504.80 it opened this brief at. The open straddle priced ±270; the day stayed inside that range. The 23500 straddle itself went from ₹269.75 to ₹253.45 — time decay winning over movement.
ATM implied volatility moved from 10.9% to 10.6%; India VIX from 11.50 to 11.99.
A short strangle put on at the open had breakevens of 23,219 and 23,781; 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.