Expiry brief · Friday, 02 October 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 | ||
|---|---|---|---|---|
| 04:31 | 🇨🇳 | holiday | Bank Holiday | |
| 09:15 | 🇮🇳 | holiday | NSE closed: Mahatma Gandhi Jayanti | |
| 18:00 | 🇺🇸 | high | Average Hourly Earnings m/m | 0.3% |
| 18:00 | 🇺🇸 | high | Non-Farm Employment Change | 89K |
| 18:00 | 🇺🇸 | high | Unemployment Rate | 4.1% |
Full week on the economic calendar →
At the open · 09:20 IST
Taken 09:20 IST · LIVE
NIFTY is at 22,421.95, -0.88% on the day. The 22400 straddle for the 06 Oct expiry costs ₹260.55 (156.95 call + 103.60 put), which is the market pricing a one-standard-deviation move of about ±261 points, ±1.16%, over the 4.3 days to expiry. Read that as the expected range: 22,161 to 22,682. Roughly two expiries in three should finish inside it; the third is where the money is made and lost.
India VIX at 14.46 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 (-0.6 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 ₹3,991 a lot with a maximum loss of ₹2,509 and breakevens at 22,239 / 22,561. The short strangle underneath it collects ₹11,203 — ₹7,212 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 ₹16,936 a lot and needs NIFTY beyond 22,140 or 22,660 at expiry to pay. It bleeds about ₹1,984 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 22,900 — the strike writers are defending as resistance; the largest put open interest below sits at 22,000, the floor.
Strategies priced off this chain · NIFTY · lot 65
| Structure · legs (per share) | Net / lot | Max profit | Max loss | Breakevens |
|---|---|---|---|---|
| Iron condor −1 22300 PE @ 68.30 · +1 22200 PE @ 45.10 · −1 22500 CE @ 104.05 · +1 22600 CE @ 65.85 | credit ₹3,991 | ₹3,991 | ₹2,509 | 22,239 / 22,561 |
| Short strangle −1 22500 CE @ 104.05 · −1 22300 PE @ 68.30 | credit ₹11,203 | ₹11,203 | unlimited | 22,128 / 22,672 |
| Long straddle +1 22400 CE @ 156.95 · +1 22400 PE @ 103.60 | debit ₹16,936 | unlimited | ₹16,936 | 22,140 / 22,660 |
| Bull call spread +1 22400 CE @ 156.95 · −1 22500 CE @ 104.05 | debit ₹3,438 | ₹3,062 | ₹3,438 | 22,453 |
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.