Nifty 50 (NIFTY50) ATM Straddle Premium

24,536.60+576.00 (2.40%)

Last updated at

The Nifty 50 (NIFTY50) ATM straddle for the 9 Nov expiry costs ₹327 at 3:35 PM, up from ₹307 at 9:15 AM. On 5 Nov it has ranged from ₹274 at 12:55 PM to ₹327 at 3:35 PM.

  • Price
  • ATM Straddle

Expiry 09 Nov

274290300310320329327
02:55 PM4 Nov03:35 PM5 Nov

FAQs

What is an ATM straddle?
An ATM straddle is a Call and a Put at the same at-the-money strike and the same expiry. Its price is the Call premium plus the Put premium. Tracking that combined price shows how much the market is paying for movement in either direction.
What does the ATM straddle price tell you?
The straddle price is a quick measure of the move the market expects by expiry. A straddle buyer profits at expiry only if the underlying settles beyond the strike plus or minus the straddle price, so that range is the move being priced in.
How is the ATM strike chosen for the straddle?
The ATM strike is the strike nearest the current price of the underlying. When the underlying moves far enough, a different strike becomes at the money, and the straddle is then tracked at that new strike.
Why does an ATM straddle lose value near expiry?
Both options lose time value every day, and the loss speeds up in the last few sessions before expiry, so the straddle falls unless the underlying moves or IV rises.
What is the difference between a straddle and a strangle?
A straddle uses a Call and a Put at the same strike. A strangle uses an out-of-the-money Call and an out-of-the-money Put at different strikes. A strangle costs less, but the underlying has to move further before it pays off.
What are the risks of selling a straddle?
A straddle seller collects both premiums but carries large risk if the underlying moves sharply: the loss on the upside is unlimited and the loss on the downside can be large. Selling a straddle also needs exchange margin, which is usually far more than the premium received.