The combined call and put premium makes the straddle
This chart plots the live at-the-money straddle on BANKEX, the BSE banking index: the combined premium of the ATM Call and ATM Put at the same strike and expiry, minute by minute through the session. It shows what the options market is charging for banking-sector movement on the BSE side of the market.
The chart runs live from 09:15 to 15:40 IST on trading days. BANKEX options trade on a 100-point strike grid, the same as BankNifty, so the ATM strike rolls in 100-point steps as the index moves.
BANKEX and BankNifty track largely the same large private banks, so their spot movements are tightly correlated. Their straddles are not copies of each other, though: the two indices trade on different exchanges with their own expiry calendars, their own participants and their own liquidity, and each straddle is priced by its own order book.
The practical difference is the expiry cycle. On a day that is expiry for one banking index and not the other, the two straddle charts diverge sharply — the expiring index is almost pure time-value decay while the other still carries days of premium. Watching both lines side by side makes the expiry effect unmistakable.
Liquidity on BANKEX options is thinner than BankNifty. That shows up as wider ATM quotes and occasional single-minute premium jumps that revert immediately — the book, not a repricing. The shape of the line over half an hour is more trustworthy than any single print.
A steadily falling line is theta decay through a quiet session; a rising line means implied volatility is expanding and the market is paying up for movement. On expiry day the decay accelerates into the close, and the last hour typically carries more of it than the whole morning.
Because the index is pure banking, this straddle reacts to the same catalysts as BankNifty: RBI policy, credit-policy commentary, and results from the big private banks. The premium often starts refusing to decay a session or two before a known event, then collapses once the event passes.
Watch the relationship with spot. Premium expanding while spot is flat is genuine event anticipation; premium expanding while spot runs is mostly gamma, and it unwinds if spot settles.
The straddle premium is plotted with BANKEX spot, so a move caused by the index travelling is visibly distinct from volatility repricing on its own. The synthetic future derived from the ATM Call and Put gives the options-implied forward.
Below the chart sits the live ATM±5 option chain with the individual CE and PE prices and open interest behind the straddle.
Straddle VWAP and adjustable EMA overlays are available on the chart legend, and the expiry chips switch between available BANKEX expiries.
It plots the combined premium of the at-the-money Call and Put on the BSE Bankex index at the same strike and expiry, minute by minute through the trading session.
The two indices hold largely the same banks but trade on different exchanges with separate expiry calendars and order books, so each straddle is priced independently — most visibly on days when one is at expiry and the other is not.
A 100-point grid, the same as BankNifty, so the ATM strike rolls in 100-point steps.
BANKEX options are thinner than BankNifty. A one-minute spike that immediately reverts is usually a shallow order book rather than a real volatility repricing.
Through the BSE session, 09:15 to 15:40 IST on trading days.
BANKEX spot and the synthetic future derived from the ATM Call and Put, with the live ATM±5 option chain below showing the CE and PE prices and open interest behind the straddle. Straddle VWAP and adjustable EMA overlays are available on the chart legend, and the expiry chips switch between available BANKEX expiries.