Expiry brief · Wednesday, 23 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 23,412.45, +0.36% on the day. The 23400 straddle for the 29 Sep expiry costs ₹245.00 (137.35 call + 107.65 put), which is the market pricing a one-standard-deviation move of about ±245 points, ±1.05%, over the 6.3 days to expiry. Read that as the expected range: 23,167 to 23,657. Roughly two expiries in three should finish inside it; the third is where the money is made and lost.
India VIX at 10.82 is low by any recent standard: premium is cheap, which favours buyers of options and punishes anyone selling them for 'income' at these levels. Skew is mild (+1.1 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 ₹4,040 a lot with a maximum loss of ₹2,460 and breakevens at 23,238 / 23,562. The short strangle underneath it collects ₹10,309 — ₹6,269 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 ₹15,925 a lot and needs NIFTY beyond 23,155 or 23,645 at expiry to pay. It bleeds about ₹1,279 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 56,425 with a straddle of ₹706 (±1.25%, expiry 29 Sep); SENSEX 74,794 with a straddle of ₹498 (±0.67%, 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 @ 71.10 · +1 23200 PE @ 45.65 · −1 23500 CE @ 87.50 · +1 23600 CE @ 50.80 | credit ₹4,040 | ₹4,040 | ₹2,460 | 23,238 / 23,562 |
| Short strangle −1 23500 CE @ 87.50 · −1 23300 PE @ 71.10 | credit ₹10,309 | ₹10,309 | unlimited | 23,141 / 23,659 |
| Long straddle +1 23400 CE @ 137.35 · +1 23400 PE @ 107.65 | debit ₹15,925 | unlimited | ₹15,925 | 23,155 / 23,645 |
| Bull call spread +1 23400 CE @ 137.35 · −1 23500 CE @ 87.50 | debit ₹3,240 | ₹3,260 | ₹3,240 | 23,450 |
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.