Expiry brief · Tuesday, 15 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 | ||
|---|---|---|---|---|
| 11:30 | 🇬🇧 | high | Claimant Count Change | 8.3K |
| 12:00 | 🇮🇳 | medium | WPI inflation y/y | |
| 16:00 | 🇮🇳 | high | CPI y/y (inflation) | |
| 16:00 | 🇮🇳 | medium | Industrial Production (IIP) y/y | |
| 19:30 | 🇺🇸 | medium | Treasury Sec Bessent Speaks |
Full week on the economic calendar →
At the open · 09:20 IST
Taken 09:20 IST · LIVE
NIFTY is at 23,498.65, +0.43% on the day. The 23500 straddle for the 15 Sep expiry costs ₹107.30 (52.10 call + 55.20 put), which is the market pricing a one-standard-deviation move of about ±107 points, ±0.46%, over the 0.3 days to expiry. Read that as the expected range: 23,391 to 23,606. Roughly two expiries in three should finish inside it; the third is where the money is made and lost.
India VIX at 12.25 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 mild (+1.9 IV points): neither side of the chain is paying up, so structures can be built symmetric around spot.
Priced off this chain, an iron condor collects ₹1,641 a lot with a maximum loss of ₹4,859 and breakevens at 23,375 / 23,625. The short strangle underneath it collects ₹2,490 — ₹849 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 ₹6,974 a lot and needs NIFTY beyond 23,393 or 23,607 at expiry to pay. It bleeds about ₹13,580 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 23,500 — the strike writers are defending as resistance; the largest put open interest below sits at 23,300, the floor.
Elsewhere: BANKNIFTY 56,623 with a straddle of ₹1,219 (±2.15%, expiry 29 Sep); SENSEX 75,161 with a straddle of ₹707 (±0.94%, 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 @ 20.90 · +1 23300 PE @ 8.20 · −1 23600 CE @ 17.40 · +1 23700 CE @ 4.85 | credit ₹1,641 | ₹1,641 | ₹4,859 | 23,375 / 23,625 |
| Short strangle −1 23600 CE @ 17.40 · −1 23400 PE @ 20.90 | credit ₹2,490 | ₹2,490 | unlimited | 23,362 / 23,638 |
| Long straddle +1 23500 CE @ 52.10 · +1 23500 PE @ 55.20 | debit ₹6,974 | unlimited | ₹6,974 | 23,393 / 23,607 |
| Bull call spread +1 23500 CE @ 52.10 · −1 23600 CE @ 17.40 | debit ₹2,256 | ₹4,244 | ₹2,256 | 23,535 |
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 23,118.60, -1.19% on the day. The 23100 straddle for the 22 Sep expiry costs ₹353.60 (215.70 call + 137.90 put), which is the market pricing a one-standard-deviation move of about ±354 points, ±1.53%, over the 7.0 days to expiry. Read that as the expected range: 22,765 to 23,472. Roughly two expiries in three should finish inside it; the third is where the money is made and lost.
India VIX at 13.46 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 ₹4,764 a lot with a maximum loss of ₹1,736 and breakevens at 22,927 / 23,273. The short strangle underneath it collects ₹17,010 — ₹12,246 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 ₹22,984 a lot and needs NIFTY beyond 22,746 or 23,454 at expiry to pay. It bleeds about ₹1,644 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 23,400 — the strike writers are defending as resistance; the largest put open interest below sits at 23,000, the floor.
Elsewhere: SENSEX 74,004 with a straddle of ₹731 (±0.99%, 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 23000 PE @ 104.05 · +1 22900 PE @ 77.40 · −1 23200 CE @ 157.65 · +1 23300 CE @ 111.00 | credit ₹4,764 | ₹4,764 | ₹1,736 | 22,927 / 23,273 |
| Short strangle −1 23200 CE @ 157.65 · −1 23000 PE @ 104.05 | credit ₹17,010 | ₹17,010 | unlimited | 22,738 / 23,462 |
| Long straddle +1 23100 CE @ 215.70 · +1 23100 PE @ 137.90 | debit ₹22,984 | unlimited | ₹22,984 | 22,746 / 23,454 |
| Bull call spread +1 23100 CE @ 215.70 · −1 23200 CE @ 157.65 | debit ₹3,773 | ₹2,727 | ₹3,773 | 23,158 |
Re-price any of these live in the builder →
What happened against what was priced
NIFTY closed at 23,118.60, -380 points (-1.62%) from the 23,498.65 it opened this brief at. The open straddle priced ±107; the day broke out of that range. The 23500 straddle itself went from ₹107.30 to ₹353.60 — movement or volatility outrunning time decay.
ATM implied volatility moved from 21.6% to 13.8%; India VIX from 12.25 to 13.46.
A short strangle put on at the open had breakevens of 23,362 and 23,638; 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.