Cheapest premium/delta
₹74.9
MIDCPNIFTY 13,425 PE
OTM Option Discount Screen
Every out-of-the-money option across the next 4 months, ranked bypremium ÷ |delta| — the rupees you pay per rupee of directional payoff exposure. Lower is a better price. Calls and puts compete on one scale.
Snapshot 2026-09-27 20:54:56 IST · DhanHQ v2 /v2/optionchain · 2–93 days to expiry · 693 candidates
What this metric does and does not say
It ranks price, not profit. A low premium/delta means the option is cheap relative to the directional exposure it buys. It says nothing about whether the underlying will move the right way, and it ignores the direction entirely.
Cost basis is the top ask — the price you would actually pay to buy — not the last traded price. Legs with no live offer, no bid, or no volume are excluded, as are strikes with |delta| below 0.02 where the ratio explodes into a meaningless rank.
The cheapest picks are short-dated. 100% of the five cheapest candidates across all underlyings expire within 2 days. A very short premium/delta score is flattered by imminent gamma — the option has only days to move into the money. The longer-dated picks score worse on this metric but give the trade room to work. Read the days to expiry column before treating the top of this table as a four-month opportunity.
Candidates screened
693
Across 4 underlyings with quotable data
Underlyings covered
4 / 5
SENSEX returned no quotes
Horizon covered
4 months
2d to 93d to expiry
Data gap — SENSEX could not be screened
For SENSEX the data source returns a complete option chain — greeks and implied volatility are present, so the underlying resolves correctly — but every leg has a zero ask, zero bid and zero volume across all 9 expiries.
This is a missing-quote feed gap, not a finding. It does not mean nothing is cheap on these underlyings — it means we have no prices to rank. Treat them as un-screened rather than absent from the opportunity set.
Premium / |delta| distribution by underlying
Every screened candidate plotted as premium-per-unit-delta against days to expiry. Points low and to the left are cheapest, but the far-left cluster is the short-dated flattery described above — the further right a point sits, the more time the option has to work.
Cheapest premium / |delta| across the term structure
For each expiry, the single best candidate's premium/delta. The term structure of option cost shows up clearly here: nearest expiries look cheapest per unit of exposure, longer expiries cost more but buy time.
Premium / |delta| ladder by distance from spot
Each candidate bucketed by how far OTM it sits. The curve shows whether the cheap end of the screen is clustered at the edge of the strike ladder or spread through the moderately-OTM strikes that are usually more liquid.
Cheapest candidates across every underlying
| Underlying | Expiry | Days | Strike | Type | Prem (ask) | Delta | Prem/Δ | IV % | % OTM | OI | OI chg | Lot cost |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| MIDCPNIFTY | 2026-09-29 | 2 | 13,425 | PE | 2.90 | -0.039 | 74.9 | 30.64 | 4.30 | 360 | 360 | ₹406 |
| MIDCPNIFTY | 2026-09-29 | 2 | 14,325 | CE | 6.75 | +0.076 | 88.5 | 16.99 | 2.12 | 2.25 L | 1.21 L | ₹945 |
| MIDCPNIFTY | 2026-09-29 | 2 | 14,375 | CE | 5.15 | +0.058 | 89.6 | 18.08 | 2.48 | 1.35 L | -23,040 | ₹721 |
| MIDCPNIFTY | 2026-09-29 | 2 | 14,400 | CE | 4.65 | +0.051 | 90.3 | 18.75 | 2.65 | 8.01 L | -1.25 L | ₹651 |
| MIDCPNIFTY | 2026-09-29 | 2 | 13,675 | PE | 4.85 | -0.053 | 91.3 | 19.60 | 2.51 | 34,560 | 31,440 | ₹679 |
| MIDCPNIFTY | 2026-09-29 | 2 | 13,650 | PE | 3.85 | -0.042 | 92.8 | 19.53 | 2.69 | 1.49 L | 70,320 | ₹539 |
| MIDCPNIFTY | 2026-09-29 | 2 | 14,350 | CE | 6.25 | +0.067 | 93.3 | 17.62 | 2.30 | 3.74 L | 1.34 L | ₹875 |
| MIDCPNIFTY | 2026-09-29 | 2 | 14,450 | CE | 3.70 | +0.039 | 94.4 | 19.73 | 3.01 | 1.83 L | -84,720 | ₹518 |
| MIDCPNIFTY | 2026-09-29 | 2 | 14,300 | CE | 9.40 | +0.099 | 94.6 | 17.27 | 1.94 | 10.67 L | 1.66 L | ₹1,316 |
| MIDCPNIFTY | 2026-09-29 | 2 | 14,500 | CE | 3.00 | +0.032 | 94.6 | 20.94 | 3.37 | 8.06 L | -69,600 | ₹420 |
| MIDCPNIFTY | 2026-09-29 | 2 | 14,550 | CE | 2.55 | +0.027 | 94.8 | 22.29 | 3.72 | 2.05 L | -55,200 | ₹357 |
| MIDCPNIFTY | 2026-09-29 | 2 | 14,425 | CE | 4.25 | +0.045 | 94.9 | 19.24 | 2.83 | 53,640 | -30,720 | ₹595 |
| MIDCPNIFTY | 2026-09-29 | 2 | 14,475 | CE | 3.45 | +0.036 | 95.6 | 20.47 | 3.19 | 27,000 | -50,400 | ₹483 |
| MIDCPNIFTY | 2026-09-29 | 2 | 14,525 | CE | 2.90 | +0.030 | 96 | 21.79 | 3.55 | 41,640 | -22,200 | ₹406 |
| MIDCPNIFTY | 2026-09-29 | 2 | 13,700 | PE | 5.70 | -0.059 | 97.1 | 18.80 | 2.34 | 5.48 L | 1.85 L | ₹798 |
NIFTY — best candidate on every expiry
Spot 23,140.5 at the time of the snapshot. The nearest expiry is not automatically the best value once you account for how little time it gives the trade.
| Expiry | Days | Strike | Type | Prem (ask) | Delta | Prem/Δ | IV % | OI | Lot cost |
|---|---|---|---|---|---|---|---|---|---|
| 2026-09-29 | 2 | 23,650 | CE | 5.50 | +0.047 | 118 | 15.07 | 39.97 L | ₹412 |
| 2026-10-06 | 9 | 23,900 | CE | 9.30 | +0.053 | 176.5 | 11.29 | 9.21 L | ₹698 |
| 2026-10-13 | 16 | 24,050 | CE | 18.40 | +0.077 | 239 | 11.13 | 1.27 L | ₹1,380 |
| 2026-10-19 | 22 | 24,600 | CE | 8.95 | +0.033 | 271.2 | 11.95 | 12,545 | ₹671 |
| 2026-10-27 | 30 | 24,300 | CE | 25.15 | +0.081 | 311.6 | 9.91 | 6.77 L | ₹1,886 |
| 2026-11-03 | 37 | 25,100 | CE | 12.00 | +0.033 | 363.6 | 11.92 | 13,910 | ₹900 |
| 2026-11-23 | 57 | 25,100 | CE | 24.35 | +0.059 | 409.9 | 10.44 | 68,445 | ₹1,826 |
| 2026-12-29 | 93 | 25,500 | CE | 45.75 | +0.084 | 543.3 | 10.06 | 9.34 L | ₹3,431 |
Best candidate per underlying
| Underlying | Spot | Candidates | Best expiry | Days | Strike | Type | Prem/Δ | Lot cost |
|---|---|---|---|---|---|---|---|---|
| NIFTY | 23,140.5 | 407 | 2026-09-29 | 2 | 23,650 | CE | ₹118 | ₹412 |
| BANKNIFTY | 55,580.4 | 168 | 2026-09-29 | 2 | 57,300 | CE | ₹337.8 | ₹350 |
| FINNIFTY | 25,094.85 | 39 | 2026-09-29 | 2 | 24,600 | PE | ₹161.6 | ₹1,040 |
| MIDCPNIFTY | 14,027.7 | 79 | 2026-09-29 | 2 | 13,425 | PE | ₹74.9 | ₹406 |
Method & caveats
- premium ÷ |delta| is a cost-efficiency ratio, not an edge. It carries no directional view and no forecast.
- OTM premiums are near-worthless by construction and decay to zero. A cheap option can still expire worthless in full.
- Cost basis is the top ask, not the last traded price, so every row reflects a price you could actually pay at the snapshot moment.
- Legs are excluded when there is no live ask, no bid quantity, or no traded volume, and when |delta| < 0.02 — the ratio becomes numerically meaningless there.
- The metric ignores theta decay and the shape of the implied-volatility surface. It is a cross-sectional ranking, not a valuation model.
- Open interest updates slowly at the source by design, so the OI change column can lag the price data.
- This is a point-in-time snapshot taken outside market hours in some cases; premiums and greeks move continuously.
- Informational and educational only. Not investment advice, and not a recommendation to buy or sell any option.
Data source
- Option chain, greeks, implied volatility, open interest and bid/ask from DhanHQ v2 Option Chain API. Requires an active Dhan data plan.
- Collected by
scripts/dhan-otm-discount.py; underlying security IDs resolved from the Dhan instrument reference.