Expiry brief · Wednesday, 16 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 | CPI y/y | 3.1% |
| 18:00 | 🇺🇸 | medium | Core Retail Sales m/m | 0.6% |
| 18:00 | 🇺🇸 | medium | Retail Sales m/m | 0.8% |
| 23:30 | 🇺🇸 | high | Federal Funds Rate | 4.00% |
| 23:30 | 🇺🇸 | high | FOMC Economic Projections | |
| 23:30 | 🇺🇸 | high | FOMC Statement |
Full week on the economic calendar →
At the open · 09:20 IST
Taken 09:20 IST · LIVE
NIFTY is at 23,239.35, +0.52% on the day. The 23250 straddle for the 22 Sep expiry costs ₹324.15 (174.85 call + 149.30 put), which is the market pricing a one-standard-deviation move of about ±324 points, ±1.39%, over the 6.3 days to expiry. Read that as the expected range: 22,915 to 23,564. Roughly two expiries in three should finish inside it; the third is where the money is made and lost.
India VIX at 13.07 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 (+0.0 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 ₹4,589 a lot with a maximum loss of ₹1,911 and breakevens at 23,079 / 23,421. The short strangle underneath it collects ₹15,194 — ₹10,605 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 ₹21,070 a lot and needs NIFTY beyond 22,926 or 23,574 at expiry to pay. It bleeds about ₹1,687 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 23,200, the floor.
Strategies priced off this chain · NIFTY · lot 65
| Structure · legs (per share) | Net / lot | Max profit | Max loss | Breakevens |
|---|---|---|---|---|
| Iron condor −1 23150 PE @ 110.45 · +1 23050 PE @ 80.80 · −1 23350 CE @ 123.30 · +1 23450 CE @ 82.35 | credit ₹4,589 | ₹4,589 | ₹1,911 | 23,079 / 23,421 |
| Short strangle −1 23350 CE @ 123.30 · −1 23150 PE @ 110.45 | credit ₹15,194 | ₹15,194 | unlimited | 22,916 / 23,584 |
| Long straddle +1 23250 CE @ 174.85 · +1 23250 PE @ 149.30 | debit ₹21,070 | unlimited | ₹21,070 | 22,926 / 23,574 |
| Bull call spread +1 23250 CE @ 174.85 · −1 23350 CE @ 123.30 | debit ₹3,351 | ₹3,149 | ₹3,351 | 23,302 |
Re-price any of these live in the builder →
At the close · 15:35 IST
Taken 15:35 IST · LIVE
NIFTY is at 23,217.60, +0.43% on the day. The 23200 straddle for the 22 Sep expiry costs ₹309.95 (176.95 call + 133.00 put), which is the market pricing a one-standard-deviation move of about ±310 points, ±1.33%, over the 6.0 days to expiry. Read that as the expected range: 22,908 to 23,528. Roughly two expiries in three should finish inside it; the third is where the money is made and lost.
India VIX at 13.19 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 (+0.8 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 ₹4,449 a lot with a maximum loss of ₹2,051 and breakevens at 23,032 / 23,368. The short strangle underneath it collects ₹14,384 — ₹9,935 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 ₹20,147 a lot and needs NIFTY beyond 22,890 or 23,510 at expiry to pay. It bleeds about ₹1,681 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 23,000, the floor.
Elsewhere: BANKNIFTY 56,292 with a straddle of ₹1,216 (±2.16%, expiry 29 Sep); SENSEX 74,336 with a straddle of ₹595 (±0.80%, 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 23100 PE @ 98.10 · +1 23000 PE @ 72.25 · −1 23300 CE @ 123.20 · +1 23400 CE @ 80.60 | credit ₹4,449 | ₹4,449 | ₹2,051 | 23,032 / 23,368 |
| Short strangle −1 23300 CE @ 123.20 · −1 23100 PE @ 98.10 | credit ₹14,384 | ₹14,384 | unlimited | 22,879 / 23,521 |
| Long straddle +1 23200 CE @ 176.95 · +1 23200 PE @ 133.00 | debit ₹20,147 | unlimited | ₹20,147 | 22,890 / 23,510 |
| Bull call spread +1 23200 CE @ 176.95 · −1 23300 CE @ 123.20 | debit ₹3,494 | ₹3,006 | ₹3,494 | 23,254 |
Re-price any of these live in the builder →
What happened against what was priced
NIFTY closed at 23,217.60, -22 points (-0.09%) from the 23,239.35 it opened this brief at. The open straddle priced ±324; the day stayed inside that range. The 23250 straddle itself went from ₹324.15 to ₹309.95 — time decay winning over movement.
ATM implied volatility moved from 13.3% to 13.0%; India VIX from 13.07 to 13.19.
A short strangle put on at the open had breakevens of 22,916 and 23,584; 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.