Straddle Premium chart: ATM straddle price minute by minute
The straddle is the market's price for a move. This chart follows the call plus put premium minute by minute, so you can watch time decay work, or watch the market reprice risk.
- What it is
- A line chart of the at-the-money call plus put premium, minute by minute through the session, with its VWAP.
- Data it uses
- NSE minute bars for the chosen call and put (price and volume); the previous session's ATM straddle; spot or future for the price line.
- Covers
- NIFTY, BANKNIFTY, FINNIFTY, MIDCPNIFTY and NIFTY NEXT 50
- Updates
- Every minute during the session; 3 or 5 sessions can be joined, and stored past sessions opened
What the chart shows
- The straddle's premium (call plus put, in points) through the session, with its VWAP as a dashed line and the open as a reference.
- Optional lines: an auto-ATM straddle that follows the money minute by minute, the previous session's ATM straddle, and the index on a second axis. Build up to four straddle or strangle lines to compare.
- Cards: the strike, premium now per lot, change since open, VWAP, the expected move the straddle implies, time value, and decay per hour.
How it is worked out
Straight from NSE's minute bars: nothing is modelled. A leg has a value only from its first trade of the day, and a quiet minute carries its last trade forward. Time value is premium minus intrinsic value at spot; decay per hour is the average since the open.
How to read it
The premium usually bleeds through a quiet day. A rising straddle means the market is pricing a bigger move, from a sharp index move or rising IV. Sellers watch decay per hour; buyers watch for the line to turn.
Controls
- Session: today, or a stored past session
- Expiry: one at a time
- Interval: 1, 5, 15 or 30 minutes
- Strike: at the money, or any strike
- Days: intraday, or 3 or 5 sessions joined
- Index price line: none, spot or future
Keep in mind
Expected move, time value and decay are worked out for the live session only. On expiry day the straddle settles at its intrinsic value at 15:30.
For the idea behind the chart, read The straddle, explained.
Straddle Premium questions
What is straddle premium?
The price of the at-the-money call plus the at-the-money put. It is what the market charges for a move in either direction before expiry.
What is the auto-ATM straddle?
A line that switches to whichever strike is at the money each minute, so it follows the index instead of staying on one strike.
Is the premium modelled?
No. Every point is a traded price from NSE's minute bars.
Related tools and guides
Expected move
The index range options are priced for, from the ATM straddle and from implied volatility, for the next six expiries, scored against how far the index actually moved.
IV Skew
Implied volatility at every strike for calls and puts, the 5% put-call skew, and ATM IV across the next six expiries.
ATM IV history
At-the-money implied volatility session by session and through the day, with IV Rank, IV Percentile, the median and the usual range.
All Pulse charts
Every chart in Pulse with a screenshot and what it tells you.
Educational analytics only: not investment advice. You are responsible for your own trading decisions.