Expiry brief · Monday, 28 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.
At the open · 09:20 IST
Taken 09:20 IST · LIVE
NIFTY is at 22,945.45, -0.84% on the day. The 22950 straddle for the 29 Sep expiry costs ₹176.40 (99.00 call + 77.40 put), which is the market pricing a one-standard-deviation move of about ±176 points, ±0.77%, over the 1.3 days to expiry. Read that as the expected range: 22,769 to 23,122. Roughly two expiries in three should finish inside it; the third is where the money is made and lost.
India VIX at 13.31 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 (-2.3 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 ₹3,065 a lot with a maximum loss of ₹3,435 and breakevens at 22,803 / 23,097. The short strangle underneath it collects ₹6,217 — ₹3,152 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 ₹11,466 a lot and needs NIFTY beyond 22,774 or 23,126 at expiry to pay. It bleeds about ₹4,561 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 23,100 — the strike writers are defending as resistance; the largest put open interest below sits at 22,500, the floor.
Strategies priced off this chain · NIFTY · lot 65
| Structure · legs (per share) | Net / lot | Max profit | Max loss | Breakevens |
|---|---|---|---|---|
| Iron condor −1 22850 PE @ 41.85 · +1 22750 PE @ 21.55 · −1 23050 CE @ 53.80 · +1 23150 CE @ 26.95 | credit ₹3,065 | ₹3,065 | ₹3,435 | 22,803 / 23,097 |
| Short strangle −1 23050 CE @ 53.80 · −1 22850 PE @ 41.85 | credit ₹6,217 | ₹6,217 | unlimited | 22,754 / 23,146 |
| Long straddle +1 22950 CE @ 99.00 · +1 22950 PE @ 77.40 | debit ₹11,466 | unlimited | ₹11,466 | 22,774 / 23,126 |
| Bull call spread +1 22950 CE @ 99.00 · −1 23050 CE @ 53.80 | debit ₹2,938 | ₹3,562 | ₹2,938 | 22,995 |
Re-price any of these live in the builder →
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.