Expiry brief · Thursday, 17 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 | ||
|---|---|---|---|---|
| 00:00 | 🇺🇸 | high | FOMC Press Conference | |
| 04:15 | 🇳🇿 | high | GDP q/q | 0.1% |
| 16:30 | 🇬🇧 | high | Monetary Policy Summary | |
| 16:30 | 🇬🇧 | high | MPC Official Bank Rate Votes | 3-0-6 |
| 16:30 | 🇬🇧 | high | Official Bank Rate | 3.75% |
| 18:00 | 🇺🇸 | medium | Philly Fed Manufacturing Index | 31.3 |
| 18:00 | 🇺🇸 | medium | Unemployment Claims | 207K |
Full week on the economic calendar →
At the open · 09:20 IST
Taken 09:20 IST · LIVE
NIFTY is at 23,264.05, +0.20% on the day. The 23250 straddle for the 22 Sep expiry costs ₹274.35 (155.80 call + 118.55 put), which is the market pricing a one-standard-deviation move of about ±274 points, ±1.18%, over the 5.3 days to expiry. Read that as the expected range: 22,990 to 23,538. Roughly two expiries in three should finish inside it; the third is where the money is made and lost.
India VIX at 12.82 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 (+0.7 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 ₹4,232 a lot with a maximum loss of ₹2,268 and breakevens at 23,085 / 23,415. The short strangle underneath it collects ₹12,145 — ₹7,913 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 ₹17,833 a lot and needs NIFTY beyond 22,976 or 23,524 at expiry to pay. It bleeds about ₹1,698 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 23,200, 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 @ 83.25 · +1 23050 PE @ 57.55 · −1 23350 CE @ 103.60 · +1 23450 CE @ 64.20 | credit ₹4,232 | ₹4,232 | ₹2,268 | 23,085 / 23,415 |
| Short strangle −1 23350 CE @ 103.60 · −1 23150 PE @ 83.25 | credit ₹12,145 | ₹12,145 | unlimited | 22,963 / 23,537 |
| Long straddle +1 23250 CE @ 155.80 · +1 23250 PE @ 118.55 | debit ₹17,833 | unlimited | ₹17,833 | 22,976 / 23,524 |
| Bull call spread +1 23250 CE @ 155.80 · −1 23350 CE @ 103.60 | debit ₹3,393 | ₹3,107 | ₹3,393 | 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 23,270.60, +0.23% on the day. The 23250 straddle for the 22 Sep expiry costs ₹238.20 (151.55 call + 86.65 put), which is the market pricing a one-standard-deviation move of about ±238 points, ±1.02%, over the 5.0 days to expiry. Read that as the expected range: 23,032 to 23,509. Roughly two expiries in three should finish inside it; the third is where the money is made and lost.
India VIX at 12.23 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 (-0.8 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 ₹4,092 a lot with a maximum loss of ₹2,408 and breakevens at 23,087 / 23,413. The short strangle underneath it collects ₹9,890 — ₹5,798 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 ₹15,483 a lot and needs NIFTY beyond 23,012 or 23,488 at expiry to pay. It bleeds about ₹1,548 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 56,056 with a straddle of ₹1,112 (±1.98%, expiry 29 Sep); SENSEX 74,315 with a straddle of ₹1,012 (±1.36%, expiry 24 Sep).
Strategies priced off this chain · NIFTY · lot 65
| Structure · legs (per share) | Net / lot | Max profit | Max loss | Breakevens |
|---|---|---|---|---|
| Iron condor −1 23150 PE @ 56.60 · +1 23050 PE @ 35.85 · −1 23350 CE @ 95.55 · +1 23450 CE @ 53.35 | credit ₹4,092 | ₹4,092 | ₹2,408 | 23,087 / 23,413 |
| Short strangle −1 23350 CE @ 95.55 · −1 23150 PE @ 56.60 | credit ₹9,890 | ₹9,890 | unlimited | 22,998 / 23,502 |
| Long straddle +1 23250 CE @ 151.55 · +1 23250 PE @ 86.65 | debit ₹15,483 | unlimited | ₹15,483 | 23,012 / 23,488 |
| Bull call spread +1 23250 CE @ 151.55 · −1 23350 CE @ 95.55 | debit ₹3,640 | ₹2,860 | ₹3,640 | 23,306 |
Re-price any of these live in the builder →
What happened against what was priced
NIFTY closed at 23,270.60, +7 points (+0.03%) from the 23,264.05 it opened this brief at. The open straddle priced ±274; the day stayed inside that range. The 23250 straddle itself went from ₹274.35 to ₹238.20 — time decay winning over movement.
ATM implied volatility moved from 12.2% to 10.9%; India VIX from 12.82 to 12.23.
A short strangle put on at the open had breakevens of 22,963 and 23,537; 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.