ATM straddle
Why the ATM straddle matters
An at-the-money straddle — buying the call and the put at the strike closest to spot, for the same expiry — is the standard way to take a pure view on volatility without a directional bet on price. Its combined premium is, in effect, the market's own price for "how much movement is priced in" between now and expiry.
Watching that combined premium over a session or across a few days shows whether the market is paying up for expected volatility (premium rising) or expecting calm (premium decaying), independent of which way the index actually moves.
How to read this chart
- Current / Change — the live combined call+put LTP, and how much it's moved over the selected window.
- High / Low / Range — the band the straddle premium traded in over that window — a wide range means volatility itself was volatile.
- Index selector — switch between NIFTY, BANKNIFTY, SENSEX, FINNIFTY, MIDCPNIFTY and BANKEX.
This tracks actual last-traded premium only — there's no theoretical time-decay curve overlaid, so a falling line can reflect either falling IV or the passage of time (theta decay), or both.
Methodology & data
NIFTY and SENSEX are weekly expiry; BANKNIFTY, FINNIFTY, MIDCPNIFTY and BANKEX are monthly-only. The strike tracked is whichever strike is closest to spot at each point — since spot moves, the "ATM strike" itself can shift over the window shown. Data streams live from AngelOne/NSE via WebSocket.
What is an ATM straddle?
A position combining a call and a put at the same strike (closest to the current spot price) and expiry. Its combined premium rises and falls with the market's expectation of future volatility, largely independent of price direction.
Why does the straddle premium change even if the index doesn't move much?
Because premium reflects expected future volatility, not just current price. Implied volatility can rise or fall on shifting expectations even with spot flat, and premium also decays with time (theta) as expiry approaches.
Which indices are covered?
NIFTY, BANKNIFTY, SENSEX, FINNIFTY, MIDCPNIFTY and BANKEX — NIFTY and SENSEX have weekly expiry, the rest are monthly-only.
Is this last-traded price or a theoretical value?
Last-traded price (LTP) only — no Black-Scholes or theoretical decay model is overlaid on this chart.