Strike Interval

Definition

Strike interval is the standardised gap between adjacent strike prices listed for an options contract on an exchange. On NSE, SEBI and the exchange jointly determine intervals based on the underlying's current price level and typical volatility. Intervals are not uniform across all instruments — they are calibrated so that a reasonable number of meaningful strikes cluster around the at-the-money level without overwhelming the market with illiquid deep strikes. The interval also defines the minimum increment by which an options strategy's break-even or max-profit point can be shifted.

Why it matters

Strike interval has direct consequences for every participant. For directional traders, a finer interval means you can buy a strike that is very close to the current spot, maximising delta while minimising premium outlay. For spreaders constructing bull call spreads, bear put spreads, or iron condors, the interval sets the minimum width between the two legs of each vertical, directly determining the maximum profit and maximum risk of the structure.

For hedgers — a fund holding a large Nifty equity portfolio seeking to buy puts — a coarser interval can mean the protective strike is further from ATM than desired, leaving the portfolio partially unhedged for a zone of adverse moves. Liquidity also concentrates at strikes that are multiples of the interval; strikes that fall between intervals simply do not exist on NSE and cannot be traded.

SEBI periodically revises interval schedules when underlying prices move substantially. After Nifty crossed certain index levels, the ATM interval for near-expiry weekly options was tightened to allow more granular positioning, significantly boosting liquidity at strikes close to the prevailing spot.

How it works

NSE generates a set of strikes centred around the ATM level at contract launch and adds new strikes as the underlying moves. The spacing is defined in the contract specification: for example, index options at one price band may be listed at every 50-point interval, while at another band they may shift to 100 points. Stock options typically have intervals of ₹5, ₹10, ₹20, ₹50, or ₹100 depending on the share price and average daily range. The exchange ensures at least a fixed minimum number of in-the-money and out-of-the-money strikes are available on each side of ATM at all times during the contract's life.

Example

Suppose Nifty is trading at 23,820. With a 50-point strike interval, the nearest listed strikes would be 23,800 and 23,850. A trader wanting to buy a call that is very close to spot can choose the 23,800 call (slightly in the money) or the 23,850 call (slightly out of the money). Now suppose the interval were 100 points instead — the choices become 23,800 and 23,900. The 23,900 call is now 80 points OTM, which at typical Nifty implied volatility represents a meaningfully lower delta and a different risk profile from what the trader intended. This illustrates why a tighter interval gives traders more control over their positioning precision.

Related

• Strike Price
• At the Money
• Option Chain