Season 2, Episode 112 | 2026-08-27
The Close Was Made In The Auction | Sensex Expiry Day, Max Pain 77,600 Is Also The Gamma Flip | Writers Flip From 8-To-1 Puts To 5-To-1 Calls, 78,000 Wall Hits 39.6 Lakh | Nifty PCR Collapses 1.16 To 0.73, Floor Migrates To 24,000
Both indices printed their low as their close yesterday, and neither did it on the tape. Episode 112 opens on Sensex expiry day with the mechanism that made that close, because the same one settles today's contracts.
Cold Open | The Close Was Made In The Auction
Yesterday the close was made in the auction. Both indices printed their low as their close, and neither did it on the tape, it happened in the cash closing session. The Sensex traded 77,600 to 77,700 throughout the afternoon and settled at 77,472. The Nifty was near 24,280 at 3:15 and printed 24,207 at the close. The futures never followed, and the synthetic future never followed either, which is why the September basis reads a weak looking 245. Today the same mechanism settles the Sensex expiry. This is auction round five. Meanwhile the writers flipped completely: the Sensex board went from w…
Wednesday's Sensex | The Low Was The Close
The Sensex closed 183 points lower, 0.24 percent, at 77,472. The open was 77,892, the high was 77,986, and the low of 77,472 was made in the closing auction session. The afternoon tape sat between 77,600 and 77,700 and the settlement happened 180 points lower. That was the cash session doing the work, not the tape. Under the surface, cement, metals, chemicals, private banks and PSUs were up, while IT fell 1.47 percent along with infrastructure, CPSE, FMCG, consumer durables and auto. And in the reversal of Tuesday, Smallcap was up 100 points or 0.81 percent, Smallcap 50 up 0.62 percent and Mic…
The Board Flipped | 8 To 1 Puts Becomes 5 To 1 Calls
A complete flip happened yesterday. On Tuesday 1.21 crore puts were written against 16 lakh calls, eight to one. Yesterday exactly the opposite: 2.69 crore calls written against 54 lakh puts, roughly five to one the other way. The 78,000 call now stands at 40 lakh, the resistance and the biggest position on the board, with 77,900 around 21 lakh, and 77,800 also written. Calls were covered below the spot at 77,300, 77,200, 77,100 and 77,000. Puts were written at 77,000 with 20 lakh, the biggest put position, 77,400 with 13 lakh and 76,800 with 8.6 lakh, while the 77,500 put was trimmed by 3.4 l…
The Expiry Map | The Magnet And The Pivot Are The Same Level
The PCR came down below one and is trading at 0.858. Max pain sits at 77,600, which is 127 points above the spot, and the gamma flip level came down to 77,600 as well. The magnet and the pivot are the same level today. Strike ratios read 100 puts per call at 76,800, 9.5 at 77,000, 1.2 at 77,500 and 0.2 at 78,000, so the expiry is expected between 77,500 and 78,000. The 27th August expiry IV is up 6 percent and trading around 11 percent. Expiry day one SD is around 408 points, from 77,100 to 77,900. The at the money 77,500 straddle is trading at 379, the live series printed 410, down 15 percent…
The Nifty | PCR Collapses And The Support Migrates Lower
Calls were written 4.3 times faster than puts, with call OI at 5.9 lakh crore against put OI of 1.37 lakh crore. The 24,500 call holds a one crore position, the biggest one, then 24,400 with almost 87 lakh. 24,350, 24,450, 24,600 and 24,700 all saw calls written. The first line of support is 24,200, where almost 11 lakh got shed, with 24,250 shedding 5 lakh and 24,150 shedding around 1 lakh. That migration is the message: the writers are moving their support down to 24,000 directly. The PCR collapsed from 1.1 to 0.73 in one session. Max pain still holds at 24,300, still above the spot, and the…
Who Did What | The Crowd Long Calls And Short Puts
The pros sold calls again, booking down to 40,000 calls, the third flip session in four. They bought back 51,000 puts, booking to 75,000, and are now holding the protection. The desk is steady in the range and is still long calls, long puts and long futures. The FIIs wrote 37,000 more calls, so the short book stands at 2.36 lakh calls, futures short is steady at 1.86 lakh, and in cash they bought again for the third day, 503 crore. The clients bought more calls to take the book to 1.91 lakh, added 60,000 naked puts, and that book is back above 6.5 lakh and trading at 6.63 lakh. Long calls and …
The Plan | The 77,600 Iron Fly
Keep a watch on the first 45 minutes. The pivot is 77,600 on the Sensex, where max pain and the gamma flip level are the same number. Above 77,600 gamma is positive, the day compresses and a drift towards 77,800 can happen, and that is the base case, not the best case. 78,000 is the resistance with 40 lakh calls written there, and nothing should cross it today. Below 77,600 the board amplifies the moves because we enter negative gamma, with the 77,500 puts trimmed, and the market could fall to 77,200 to 77,300. The expiry range is broad at 77,065 to 77,881. Do not judge the day after 3:15, bec…
Highlights
- Both indices printed their low as their close, made in the closing auction
- Sensex settled 77,472, down 183 points, after an afternoon tape of 77,600 to 77,700
- Nifty was near 24,280 at 3:15 and printed 24,207 at the close
- Futures never followed, so the September basis reads a weak looking 245
- Auction round five, and the same mechanism settles the Sensex expiry today
- Sensex board flipped from 8 to 1 puts to 5 to 1 calls in one session
- 2.69 crore calls written against 54 lakh puts
- 78,000 call reached 40 lakh, the biggest position on the board
- Calls covered below spot at 77,300, 77,200, 77,100 and 77,000
- The 77,500 put was trimmed 3.4 lakh to 14 lakh, thinning the level under spot
- Sensex PCR fell below one to 0.858
- Max pain 77,600 sits 127 points above spot and is also the gamma flip
- Expiry day one SD around 408 points, 77,100 to 77,900
- At the money 77,500 straddle trading 379, live series 410, down 15 percent
- Nifty calls written 4.3 times faster than puts
- 24,500 call holds a one crore position, the biggest on the board
- 24,200 support shed almost 11 lakh puts while 24,000 built
- Nifty PCR collapsed from 1.1 to 0.73 in one session
- Pros sold calls again, a third flip in four sessions, and bought back 51,000 puts
- FIIs wrote 37,000 more calls and bought 503 crore cash, a third straight buy
- Clients hold 1.91 lakh calls and 6.63 lakh naked puts
- DII cash jumped to 6,425 crore from 230 crore on Tuesday
- India VIX fell to 10.43, the lowest of this cycle
- Plan on record: pivot 77,600, the 77,600 iron fly, range 77,300 to 77,900, spreads only
Transcript Excerpt
A very good morning, guys. Yesterday the close was made in the auction. Both indices printed their low as their close, and neither did it on the tape, it happened in the cash closing session. The Sensex traded 77,600 to 77,700 throughout the afternoon and settled at 77,472. The Nifty was near 24,280 at 3:15 and printed 24,207 at the closing. The futures never followed, and the synthetic future also never followed, which is why the September basis reads a weak looking 245 basis. And today the same mechanism settles the Sensex expiry. This is auction round five. Meanwhile the writers flipped completely. The Sensex board went from writing the puts 8 to 1, to writing calls 5 to 1. This is The Tanmay Edge. You are listening to episode 112. I am Tanmay Kurtkoti. Let's go. So the Sensex tape first. The Sensex closed 183 points lower, 0.24 percent, at 77,472. The open was 77,892, a high of 77,986, and then the low made of 77,472 in the closing auction session. The afternoon tape sat 77,600 to 700 and the settlement happened 180 points lower. That was the cash session. The Sensex board, a complete flip happened yesterday. Yesterday, 1.21 crore puts written against 16 lakh calls, 8 to 1. Today, exactly the opposite happened, 2.69 crore calls written against 54 lakh puts, roughly 5 to 1, the other way round. The 78,000 call now stands at 40 lakh, the resistance and the biggest position on the board. 77,900 around 21 lakh, 77,800 call, 78,000, everything written. Calls covered below the spot, at 77,300, 77,200, 77,100 and 77,000. Puts written at 77,000, 20 lakh, the biggest put position, 77,400 13 lakh, 76,800 8.6 lakh, and the 77,500 put was trimmed by 3.4 lakh to almost 14 lakh outstanding. So the PCR came down below 1 and is trading at 0.858. Max pain sits at 77,600, sitting 127 points above the spot. The gamma flip level came down as well to 77,600. The magnet and the pivot are the same level today. So the strike ratios are, 76,800 reads 100 puts per call, 77,000 reads 9…
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