RELIANCE Expiry Range
What the ATM straddle prices in Range = ATM strike ± (ATM call + ATM put closing price). Option sellers collect the straddle; they lose only if the expiry close is outside this band. It sizes the move, it does not call the direction.
Loading…
Expiry range on the price chart Daily candles with EMA 20 / 50 / 100 / 200. Blue band: range fixed on the first session of each series. Dots: expiry close inside (green) or outside (red). Drag the chart or the date axis to move, scroll to zoom.
Every past expiry Range fixed on the first session of the series; result at the expiry close. “Closed outside”: a daily close beyond the band before expiry.
What our backtest found NSE bhavcopy, every stored session
ATM strike: the strike nearest the spot close whose call and put both traded (else both priced). Weekly: the nearest option expiry after the session; monthly: the nearest futures expiry after the session. On an expiry day the next contract is used. Closing prices only: an intraday spike beyond the band is not seen. For education only, not a recommendation to buy or sell.
RELIANCE (RELIANCE) Expiry Range: What It Shows
The formula
Take the at-the-money (ATM) strike, add the closing price of its call and its put (the straddle), and you get a band: ATM strike minus the straddle to ATM strike plus the straddle. Example: NIFTY at about 23,100 with the 23,100 call at 105 and the 23,100 put at 104 gives a straddle of 209 and an expiry range of 22,891 to 23,309.
Why the band means something
Someone who sells that straddle collects 209 points. They lose money only if RELIANCE settles more than 209 points away from the strike, that is, outside the band. So the straddle price is the move the options market is willing to bet against, and the band is the range option sellers expect to hold until expiry.
Weekly and monthly
The weekly range uses the nearest weekly expiry, the monthly range uses the monthly (futures) expiry. Stocks have monthly contracts only, so they show the monthly range alone.
Fixed or rolling
The fixed range is set on the first session of each series and does not move: it is the band to judge the whole series by. The rolling range is worked out again every day from that day's straddle; it narrows as expiry gets closer because time value melts away.
What it does not tell you
The band is symmetric around the strike. It sizes the expected move, it says nothing about the direction.
How and When Traders Use It
At the start of the series
On the first day of a new weekly or monthly series traders note the range. It frames the week: a quiet market should stay inside it, a trending one should test an edge.
Option sellers
Sellers place short strikes at or beyond the edges of the band, so that their positions profit if RELIANCE stays inside. When price closes near an edge, they reduce or adjust those positions instead of waiting for the edge to break.
Option buyers
Buyers compare the band with the move they expect. If they expect a move larger than the straddle (an event, results, a breakout), options look cheap; if not, the time decay inside the band works against them.
Breaks of the band
A daily close outside the fixed range means the move has already beaten what the market priced. Traders then watch whether IV jumps (the market reprices a bigger move) or price returns inside the band.
Practical example
Suppose on Tuesday the weekly straddle gives a range of 22,891 to 23,309 for Monday's expiry. A trader who sold strikes around 22,850 and 23,350 is comfortable while RELIANCE trades in the middle of the band. If RELIANCE closes at 23,290 on Thursday, it is near the upper edge with one day left: the trader may roll the call side higher or close it, because a small further rise would take the expiry outside the range.
What Our Backtest Measures
Held at expiry
For every finished expiry we check whether the closing price on expiry day was inside the range fixed at the start of the series.
Closed outside before expiry
We also check whether any daily close fell outside the band before expiry: a range can hold at expiry and still be broken along the way.
Expiry move against the straddle
The distance from the strike to the expiry close, as a share of the straddle. Below 100% means the move was smaller than the premium: sellers kept part of it.
Rolling ranges by days left
The same check for ranges taken with 1, 2–3, 4–7, 8–15 and 16+ days left, so you can see how reliable a band is at each point of the series. The figures update every session from NSE closing prices.
RELIANCE Expiry Range: Frequently Asked Questions
How is the RELIANCE weekly expiry range calculated?
ATM strike plus and minus the ATM straddle (call closing price plus put closing price) of the nearest weekly expiry. With the 23,100 straddle at 209 the range is 22,891 to 23,309.
Is the expiry range a prediction?
No. It is the move the options market has priced. It tells you how far RELIANCE can move before option sellers start losing, not where it will go.
How often does the range hold?
A straddle is close to a one-standard-deviation move, so a fairly priced band holds roughly two times in three. The backtest on this page shows the actual figure for RELIANCE from our stored NSE data.
Why does the range get narrower every day?
The straddle loses time value as expiry approaches, so the daily (rolling) range shrinks even when volatility is unchanged.
Which strike is ATM?
The strike nearest the spot close whose call and put both traded that day. When no pair traded we use the nearest pair with a closing price.
Can I trade on this?
This page is for education only. It is not a recommendation to buy or sell any option or security.
Expiry Range for other indices & stocks
Data: NSE F&O bhavcopy (end of day). This page explains how market participants commonly read this data. It is for education only and is not a recommendation to buy or sell any security.