Expiry brief · Thursday, 10 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.
Scheduled today
| IST | RELEASE | ACTUAL / FCST | ||
|---|---|---|---|---|
| 06:45 | 🇺🇸 | medium | President Trump Speaks | |
| 17:45 | 🇪🇺 | high | Main Refinancing Rate | 2.65% |
| 17:45 | 🇪🇺 | high | Monetary Policy Statement | |
| 18:00 | 🇺🇸 | high | Core PPI m/m | 0.3% |
| 18:00 | 🇺🇸 | high | PPI m/m | 0.4% |
| 18:00 | 🇺🇸 | medium | Unemployment Claims | 205K |
| 18:15 | 🇪🇺 | high | ECB Press Conference |
Full week on the economic calendar →
At the open · 09:20 IST
Taken 09:20 IST · LIVE
NIFTY is at 23,443.40, +0.05% on the day. The 23450 straddle for the 15 Sep expiry costs ₹231.40 (134.65 call + 96.75 put), which is the market pricing a one-standard-deviation move of about ±231 points, ±0.99%, over the 5.3 days to expiry. Read that as the expected range: 23,212 to 23,675. Roughly two expiries in three should finish inside it; the third is where the money is made and lost.
India VIX at 11.69 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 (-1.1 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 ₹3,780 a lot with a maximum loss of ₹2,720 and breakevens at 23,292 / 23,608. The short strangle underneath it collects ₹9,490 — ₹5,710 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 ₹15,041 a lot and needs NIFTY beyond 23,219 or 23,681 at expiry to pay. It bleeds about ₹1,437 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 56,451 with a straddle of ₹1,312 (±2.32%, expiry 29 Sep); SENSEX 74,804 with a straddle of ₹371 (±0.50%, 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 @ 61.25 · +1 23250 PE @ 38.25 · −1 23550 CE @ 84.75 · +1 23650 CE @ 49.60 | credit ₹3,780 | ₹3,780 | ₹2,720 | 23,292 / 23,608 |
| Short strangle −1 23550 CE @ 84.75 · −1 23350 PE @ 61.25 | credit ₹9,490 | ₹9,490 | unlimited | 23,204 / 23,696 |
| Long straddle +1 23450 CE @ 134.65 · +1 23450 PE @ 96.75 | debit ₹15,041 | unlimited | ₹15,041 | 23,219 / 23,681 |
| Bull call spread +1 23450 CE @ 134.65 · −1 23550 CE @ 84.75 | debit ₹3,244 | ₹3,256 | ₹3,244 | 23,500 |
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 23,477.80, +0.20% on the day. The 23500 straddle for the 15 Sep expiry costs ₹209.75 (82.15 call + 127.60 put), which is the market pricing a one-standard-deviation move of about ±210 points, ±0.89%, over the 5.0 days to expiry. Read that as the expected range: 23,268 to 23,688. Roughly two expiries in three should finish inside it; the third is where the money is made and lost.
India VIX at 11.73 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 (+3.1 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 ₹3,435 a lot with a maximum loss of ₹3,065 and breakevens at 23,347 / 23,653. The short strangle underneath it collects ₹8,242 — ₹4,807 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 ₹13,634 a lot and needs NIFTY beyond 23,290 or 23,710 at expiry to pay. It bleeds about ₹1,362 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 56,472 with a straddle of ₹1,248 (±2.21%, expiry 29 Sep); SENSEX 74,903 with a straddle of ₹920 (±1.23%, expiry 17 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 @ 79.50 · +1 23300 PE @ 47.80 · −1 23600 CE @ 47.30 · +1 23700 CE @ 26.15 | credit ₹3,435 | ₹3,435 | ₹3,065 | 23,347 / 23,653 |
| Short strangle −1 23600 CE @ 47.30 · −1 23400 PE @ 79.50 | credit ₹8,242 | ₹8,242 | unlimited | 23,273 / 23,727 |
| Long straddle +1 23500 CE @ 82.15 · +1 23500 PE @ 127.60 | debit ₹13,634 | unlimited | ₹13,634 | 23,290 / 23,710 |
| Bull call spread +1 23500 CE @ 82.15 · −1 23600 CE @ 47.30 | debit ₹2,265 | ₹4,235 | ₹2,265 | 23,535 |
Re-price any of these live in the builder →
What happened against what was priced
NIFTY closed at 23,477.80, +34 points (+0.15%) from the 23,443.40 it opened this brief at. The open straddle priced ±231; the day stayed inside that range. The 23450 straddle itself went from ₹231.40 to ₹209.75 — time decay winning over movement.
ATM implied volatility moved from 10.3% to 9.6%; India VIX from 11.69 to 11.73.
A short strangle put on at the open had breakevens of 23,204 and 23,696; 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.