Expiry brief · Monday, 14 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 | ||
|---|---|---|---|---|
| 09:15 | 🇮🇳 | holiday | NSE closed: Ganesh Chaturthi | |
| 18:00 | 🇨🇦 | high | CPI m/m | -0.1% |
| 18:00 | 🇨🇦 | high | Median CPI y/y | 2.0% |
| 18:00 | 🇨🇦 | high | Trimmed CPI y/y | 1.9% |
Full week on the economic calendar →
At the open · 09:20 IST
Taken 09:20 IST · LIVE
NIFTY is at 23,398.10, -0.34% on the day. The 23400 straddle for the 15 Sep expiry costs ₹204.00 (133.60 call + 70.40 put), which is the market pricing a one-standard-deviation move of about ±204 points, ±0.87%, over the 1.3 days to expiry. Read that as the expected range: 23,194 to 23,602. Roughly two expiries in three should finish inside it; the third is where the money is made and lost.
India VIX at 12.29 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 (-5.6 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 ₹3,536 a lot with a maximum loss of ₹2,964 and breakevens at 23,246 / 23,554. The short strangle underneath it collects ₹7,820 — ₹4,284 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 ₹13,260 a lot and needs NIFTY beyond 23,196 or 23,604 at expiry to pay. It bleeds about ₹5,276 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 23,800 — the strike writers are defending as resistance; the largest put open interest below sits at 23,300, the floor.
Elsewhere: BANKNIFTY 56,607 with a straddle of ₹1,313 (±2.32%, expiry 29 Sep); SENSEX 74,782 with a straddle of ₹940 (±1.26%, 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 23300 PE @ 44.65 · +1 23200 PE @ 28.20 · −1 23500 CE @ 75.65 · +1 23600 CE @ 37.70 | credit ₹3,536 | ₹3,536 | ₹2,964 | 23,246 / 23,554 |
| Short strangle −1 23500 CE @ 75.65 · −1 23300 PE @ 44.65 | credit ₹7,820 | ₹7,820 | unlimited | 23,180 / 23,620 |
| Long straddle +1 23400 CE @ 133.60 · +1 23400 PE @ 70.40 | debit ₹13,260 | unlimited | ₹13,260 | 23,196 / 23,604 |
| Bull call spread +1 23400 CE @ 133.60 · −1 23500 CE @ 75.65 | debit ₹3,767 | ₹2,733 | ₹3,767 | 23,458 |
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 23,398.10, -0.34% on the day. The 23400 straddle for the 15 Sep expiry costs ₹204.00 (133.60 call + 70.40 put), which is the market pricing a one-standard-deviation move of about ±204 points, ±0.87%, over the 1.0 days to expiry. Read that as the expected range: 23,194 to 23,602. Roughly two expiries in three should finish inside it; the third is where the money is made and lost.
India VIX at 12.29 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 (-6.4 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 ₹3,536 a lot with a maximum loss of ₹2,964 and breakevens at 23,246 / 23,554. The short strangle underneath it collects ₹7,820 — ₹4,284 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 ₹13,260 a lot and needs NIFTY beyond 23,196 or 23,604 at expiry to pay. It bleeds about ₹6,654 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 23,800 — the strike writers are defending as resistance; the largest put open interest below sits at 23,300, the floor.
Elsewhere: BANKNIFTY 56,607 with a straddle of ₹1,313 (±2.32%, expiry 29 Sep); SENSEX 74,782 with a straddle of ₹940 (±1.26%, 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 23300 PE @ 44.65 · +1 23200 PE @ 28.20 · −1 23500 CE @ 75.65 · +1 23600 CE @ 37.70 | credit ₹3,536 | ₹3,536 | ₹2,964 | 23,246 / 23,554 |
| Short strangle −1 23500 CE @ 75.65 · −1 23300 PE @ 44.65 | credit ₹7,820 | ₹7,820 | unlimited | 23,180 / 23,620 |
| Long straddle +1 23400 CE @ 133.60 · +1 23400 PE @ 70.40 | debit ₹13,260 | unlimited | ₹13,260 | 23,196 / 23,604 |
| Bull call spread +1 23400 CE @ 133.60 · −1 23500 CE @ 75.65 | debit ₹3,767 | ₹2,733 | ₹3,767 | 23,458 |
Re-price any of these live in the builder →
What happened against what was priced
NIFTY closed at 23,398.10, +0 points (+0.00%) from the 23,398.10 it opened this brief at. The open straddle priced ±204; the day stayed inside that range. The 23400 straddle itself went from ₹204.00 to ₹204.00 — movement or volatility outrunning time decay.
ATM implied volatility moved from 18.6% to 20.9%; India VIX from 12.29 to 12.29.
A short strangle put on at the open had breakevens of 23,180 and 23,620; 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.