Expiry brief · Tuesday, 22 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 | |
| 08:40 | 🇦🇺 | high | RBA Gov Bullock Speaks |
Full week on the economic calendar →
At the open · 09:20 IST
Taken 09:20 IST · LIVE
NIFTY is at 23,443.75, +0.13% on the day. The 23450 straddle for the 22 Sep expiry costs ₹100.55 (46.25 call + 54.30 put), which is the market pricing a one-standard-deviation move of about ±101 points, ±0.43%, over the 0.3 days to expiry. Read that as the expected range: 23,343 to 23,544. Roughly two expiries in three should finish inside it; the third is where the money is made and lost.
India VIX at 11.13 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 ₹1,508 a lot with a maximum loss of ₹4,992 and breakevens at 23,327 / 23,573. The short strangle underneath it collects ₹2,174 — ₹666 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 ₹6,536 a lot and needs NIFTY beyond 23,350 or 23,550 at expiry to pay. It bleeds about ₹12,695 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 56,580 with a straddle of ₹766 (±1.35%, expiry 29 Sep); SENSEX 74,926 with a straddle of ₹601 (±0.80%, 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 23350 PE @ 19.80 · +1 23250 PE @ 6.85 · −1 23550 CE @ 13.65 · +1 23650 CE @ 3.40 | credit ₹1,508 | ₹1,508 | ₹4,992 | 23,327 / 23,573 |
| Short strangle −1 23550 CE @ 13.65 · −1 23350 PE @ 19.80 | credit ₹2,174 | ₹2,174 | unlimited | 23,316 / 23,584 |
| Long straddle +1 23450 CE @ 46.25 · +1 23450 PE @ 54.30 | debit ₹6,536 | unlimited | ₹6,536 | 23,350 / 23,550 |
| Bull call spread +1 23450 CE @ 46.25 · −1 23550 CE @ 13.65 | debit ₹2,119 | ₹4,381 | ₹2,119 | 23,483 |
Re-price any of these live in the builder →
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.