Expiry brief · Monday, 21 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 | ||
|---|---|---|---|---|
| 04:30 | 🇯🇵 | holiday | Bank Holiday |
Full week on the economic calendar →
At the open · 09:20 IST
Taken 09:20 IST · LIVE
NIFTY is at 23,389.00, +0.18% on the day. The 23400 straddle for the 22 Sep expiry costs ₹149.95 (67.40 call + 82.55 put), which is the market pricing a one-standard-deviation move of about ±150 points, ±0.64%, over the 1.3 days to expiry. Read that as the expected range: 23,239 to 23,539. Roughly two expiries in three should finish inside it; the third is where the money is made and lost.
India VIX at 11.60 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 (+2.2 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 ₹2,548 a lot with a maximum loss of ₹3,952 and breakevens at 23,261 / 23,539. The short strangle underneath it collects ₹4,664 — ₹2,116 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 ₹9,747 a lot and needs NIFTY beyond 23,250 or 23,550 at expiry to pay. It bleeds about ₹3,866 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 23300 PE @ 42.65 · +1 23200 PE @ 21.80 · −1 23500 CE @ 29.10 · +1 23600 CE @ 10.75 | credit ₹2,548 | ₹2,548 | ₹3,952 | 23,261 / 23,539 |
| Short strangle −1 23500 CE @ 29.10 · −1 23300 PE @ 42.65 | credit ₹4,664 | ₹4,664 | unlimited | 23,228 / 23,572 |
| Long straddle +1 23400 CE @ 67.40 · +1 23400 PE @ 82.55 | debit ₹9,747 | unlimited | ₹9,747 | 23,250 / 23,550 |
| Bull call spread +1 23400 CE @ 67.40 · −1 23500 CE @ 29.10 | debit ₹2,490 | ₹4,010 | ₹2,490 | 23,438 |
Re-price any of these live in the builder →
At the close · 15:35 IST
Taken 15:35 IST · LIVE
NIFTY is at 23,414.30, +0.29% on the day. The 23400 straddle for the 22 Sep expiry costs ₹135.85 (90.65 call + 45.20 put), which is the market pricing a one-standard-deviation move of about ±136 points, ±0.58%, over the 1.0 days to expiry. Read that as the expected range: 23,278 to 23,550. Roughly two expiries in three should finish inside it; the third is where the money is made and lost.
India VIX at 11.28 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 ₹2,412 a lot with a maximum loss of ₹4,088 and breakevens at 23,263 / 23,537. The short strangle underneath it collects ₹3,890 — ₹1,478 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 ₹8,830 a lot and needs NIFTY beyond 23,264 or 23,536 at expiry to pay. It bleeds about ₹4,400 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 23,400, the floor.
Elsewhere: BANKNIFTY 56,471 with a straddle of ₹814 (±1.44%, expiry 29 Sep); SENSEX 74,859 with a straddle of ₹672 (±0.90%, 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 23300 PE @ 22.35 · +1 23200 PE @ 11.95 · −1 23500 CE @ 37.50 · +1 23600 CE @ 10.80 | credit ₹2,412 | ₹2,412 | ₹4,088 | 23,263 / 23,537 |
| Short strangle −1 23500 CE @ 37.50 · −1 23300 PE @ 22.35 | credit ₹3,890 | ₹3,890 | unlimited | 23,240 / 23,560 |
| Long straddle +1 23400 CE @ 90.65 · +1 23400 PE @ 45.20 | debit ₹8,830 | unlimited | ₹8,830 | 23,264 / 23,536 |
| Bull call spread +1 23400 CE @ 90.65 · −1 23500 CE @ 37.50 | debit ₹3,455 | ₹3,045 | ₹3,455 | 23,453 |
Re-price any of these live in the builder →
What happened against what was priced
NIFTY closed at 23,414.30, +25 points (+0.11%) from the 23,389.00 it opened this brief at. The open straddle priced ±150; the day stayed inside that range. The 23400 straddle itself went from ₹149.95 to ₹135.85 — time decay winning over movement.
ATM implied volatility moved from 13.7% to 13.8%; India VIX from 11.60 to 11.28.
A short strangle put on at the open had breakevens of 23,228 and 23,572; 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.