Expiry brief · Friday, 18 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 | ||
|---|---|---|---|---|
| 08:00 | 🇯🇵 | high | BOJ Policy Rate | <1.25% |
| 08:00 | 🇯🇵 | high | Monetary Policy Statement | |
| 08:24 | 🇯🇵 | high | BOJ Policy Rate | <1.25% |
| 08:24 | 🇯🇵 | high | Monetary Policy Statement | |
| 08:30 | 🇯🇵 | high | BOJ Policy Rate | <1.25% |
| 08:30 | 🇯🇵 | high | Monetary Policy Statement | |
| 11:00 | 🇯🇵 | high | BOJ Press Conference | |
| 12:00 | 🇯🇵 | high | BOJ Press Conference |
Full week on the economic calendar →
At the open · 09:20 IST
Taken 09:20 IST · LIVE
NIFTY is at 23,316.30, +0.20% on the day. The 23300 straddle for the 22 Sep expiry costs ₹220.60 (122.75 call + 97.85 put), which is the market pricing a one-standard-deviation move of about ±221 points, ±0.95%, over the 4.3 days to expiry. Read that as the expected range: 23,096 to 23,537. Roughly two expiries in three should finish inside it; the third is where the money is made and lost.
India VIX at 12.19 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 (+1.5 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 ₹3,780 a lot with a maximum loss of ₹2,720 and breakevens at 23,142 / 23,458. The short strangle underneath it collects ₹8,811 — ₹5,031 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 ₹14,339 a lot and needs NIFTY beyond 23,079 or 23,521 at expiry to pay. It bleeds about ₹1,684 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 56,226 with a straddle of ₹1,091 (±1.94%, expiry 29 Sep); SENSEX 74,487 with a straddle of ₹952 (±1.28%, 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 23200 PE @ 62.55 · +1 23100 PE @ 38.50 · −1 23400 CE @ 73.00 · +1 23500 CE @ 38.90 | credit ₹3,780 | ₹3,780 | ₹2,720 | 23,142 / 23,458 |
| Short strangle −1 23400 CE @ 73.00 · −1 23200 PE @ 62.55 | credit ₹8,811 | ₹8,811 | unlimited | 23,064 / 23,536 |
| Long straddle +1 23300 CE @ 122.75 · +1 23300 PE @ 97.85 | debit ₹14,339 | unlimited | ₹14,339 | 23,079 / 23,521 |
| Bull call spread +1 23300 CE @ 122.75 · −1 23400 CE @ 73.00 | debit ₹3,234 | ₹3,266 | ₹3,234 | 23,350 |
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 23,346.40, +0.33% on the day. The 23350 straddle for the 22 Sep expiry costs ₹180.80 (92.30 call + 88.50 put), which is the market pricing a one-standard-deviation move of about ±181 points, ±0.77%, over the 4.0 days to expiry. Read that as the expected range: 23,166 to 23,527. Roughly two expiries in three should finish inside it; the third is where the money is made and lost.
India VIX at 11.41 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 (+1.4 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 ₹3,188 a lot with a maximum loss of ₹3,312 and breakevens at 23,201 / 23,499. The short strangle underneath it collects ₹6,461 — ₹3,273 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 ₹11,752 a lot and needs NIFTY beyond 23,169 or 23,531 at expiry to pay. It bleeds about ₹1,477 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 23,300, the floor.
Strategies priced off this chain · NIFTY · lot 65
| Structure · legs (per share) | Net / lot | Max profit | Max loss | Breakevens |
|---|---|---|---|---|
| Iron condor −1 23250 PE @ 51.65 · +1 23150 PE @ 29.35 · −1 23450 CE @ 47.75 · +1 23550 CE @ 21.00 | credit ₹3,188 | ₹3,188 | ₹3,312 | 23,201 / 23,499 |
| Short strangle −1 23450 CE @ 47.75 · −1 23250 PE @ 51.65 | credit ₹6,461 | ₹6,461 | unlimited | 23,151 / 23,549 |
| Long straddle +1 23350 CE @ 92.30 · +1 23350 PE @ 88.50 | debit ₹11,752 | unlimited | ₹11,752 | 23,169 / 23,531 |
| Bull call spread +1 23350 CE @ 92.30 · −1 23450 CE @ 47.75 | debit ₹2,896 | ₹3,604 | ₹2,896 | 23,394 |
Re-price any of these live in the builder →
What happened against what was priced
NIFTY closed at 23,346.40, +30 points (+0.13%) from the 23,316.30 it opened this brief at. The open straddle priced ±221; the day stayed inside that range. The 23300 straddle itself went from ₹220.60 to ₹180.80 — time decay winning over movement.
ATM implied volatility moved from 10.9% to 9.3%; India VIX from 12.19 to 11.41.
A short strangle put on at the open had breakevens of 23,064 and 23,536; spot finished between them. One day is not a track record — but this is exactly the comparison to keep a journal of.
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.