Season 2, Episode 116 | 2026-09-02
The Auction Gave It All Back | 69 of the 70 Stocks It Marked Up on Monday Fell on Tuesday | Correlation Minus 0.712 Inside the Auction, Zero Outside It | ITC Printed 255.50, Closed 266.60
On Monday the closing auction printed ITC at 255.50. The market had spent six hours trading it at an average of 262.30. On Tuesday, with continuous trading back, ITC closed at 266.60. One stock is an anecdote, so we tested the whole list.
Verdict: 2.5/5 | 1 HIT, 1 PARTIAL, 3 MISS | graded next morning against NSE settlement data.
Cold Open | The Auction Gave It All Back
Yesterday the auction gave it all back. The closing auction session on Monday printed ITC at 255.50. The market had spent six hours trading it at 262.30. Yesterday, with the continuous market open again, ITC closed at 266.60, up 4.34 percent. That is not one stock having a good day. I ran it across the whole auction list, and it is a mechanism. Of the 70 stocks marked almost 1 percent up on Monday, 69 of them fell yesterday. And in the 1,975 stocks that are not in the closing auction session, the same test finds nothing at all.
The Method | 210 Names Against A 1,975 Name Control
Here is how I ran it, so you can check me. The universe is the 210 futures and options stocks, which is the closing auction list. The control group is the other 1,975 traded stocks which are not present in the auction group. For Monday I measured the auction print against each stock's own average for the day, that is how it traded from 9:15 to 3:15. For yesterday I measured the plain return, Tuesday's close against Monday's close. Then I correlated the two of them.
The Result | Minus 0.712 Inside, Plus 0.018 Outside
Inside the auction, the correlation is minus 0.712. That is, the stocks Monday marked up, Tuesday they all gave back, and the stocks Monday marked down were positive on Tuesday. Outside the auction, the correlation is plus 0.018, which is zero. The regression slope inside the auction is minus 1.037. In plain words, on average the market gave back the entire Monday dislocation, one for one, the very next day. And the buckets. Marked up more than 1 percent by Monday's auction, 70 stocks, 69 fell yesterday, average minus 2.73 percent. Marked down more than 1 percent, 24 stocks, of which 17 rose y…
The Caveats | One Pair Of Days, Not A Study
This is one pair of days, one observation, not a study with a hundred of them. Monday was an MSCI rebalance, so this is the effect at its maximum, not an average, and part of that reversal could be the index flow unwinding rather than the auction itself. The control group kills the argument that it was just the market. It does not kill that one. So what survives, all of it, is simple enough. Monday's closing price was not the price.
Yesterday's Own Auction | 117 Points In Ten Minutes
And yesterday we now know what happened. The tape spent the last hour between 23,952 and 24,000. At 15:20 the indicative was trading around 24,008. Thirty seconds later it was 24,125. It decayed all the way down to 24,055 at 15:29. That is a 117 point swing inside a ten minute window, on a day with no index event. At 3:13 the index was 23,984 and it printed 24,055, so the auction added 71 points. The Sensex was 76,718 at 3:13 and printed 76,944, so the auction added 226 points. Anyone reading the indicative at 3:21 was 70 points wrong. And the side effect nobody is talking about: the September…
The Board | Inside Positive Gamma For The First Time
On the 8th September expiry, Nifty calls are 1,042 lakh and puts 721 lakh. The PCR is 0.692, down from 0.966, with calls written at twice the pace of the puts on day one. Resistance at 24,200 is the heaviest at 74 lakh calls, of which almost 42 lakh came in yesterday. 24,500 is next at 72 lakh and 24,100 at 64 lakh. Support is at 24,000 with 53.5 lakh puts, then 23,600 with 49 lakh and 23,900 at 34 lakh. Max pain stands at 24,100, sitting 44 points above the spot, and 24,000 is the even strike with 58 lakh calls against 54 lakh puts. Gamma turns positive around 24,000, so for the first time in…
The Plan | The Risk Is Not On The Board
The grading for yesterday's episode, a 3 out of 5. The levels worked superbly, the IV did not. A flat open near 24,030 to 24,060 on a GIFT that is ignoring a 3 percent fall in Korea. 24,000 is the first support, tested and held on a close three sessions running. Below it we see 23,900, and if 23,900 does not hold on a closing basis we go towards 23,600 where the second support stands. 24,100 is max pain and the first resistance, after which 24,200 where 74 lakh calls sit, and then 24,300. The band for trading is 23,930 to 24,190, and we are above the gamma flip level of 23,950 to 24,000, so ex…
Highlights
- ITC traded 262.30 for six hours, the auction printed 255.50, next day it closed 266.60
- 69 of the 70 stocks marked more than 1 percent up on Monday fell the next day
- Correlation inside the auction list minus 0.712, outside it plus 0.018
- Regression slope minus 1.037, the entire dislocation given back one for one
- 210 futures and options names tested against a 1,975 name control group
- Names marked up more than 1 percent averaged minus 2.73 percent the next day
- 40 of the 44 names printed more than 2 percent away reversed, 91 percent of the group
- Bharti Airtel printed 1,811 against a traded 1,847, then closed 1,877 the next day
- Caveats on air: one pair of days, an MSCI day, index flow unwinding not excluded
- Tuesday's own auction swung 117 points inside a ten minute window
- Indicative 24,008 at 15:20, then 24,125 thirty seconds later, then 24,055
- The auction added 71 points to the Nifty and 226 to the Sensex on a no-event day
- Anyone reading the indicative at 3:21 was 70 points wrong
- 71 points came out of the basis without a single futures trade
- 24,000 broke intraday a third straight session and only the auction made the close hold
- PCR 0.692, down from 0.966, calls written at twice the pace of puts
- Max pain 24,100 sits 44 points above the spot
- Gamma turns positive around 24,000, inside positive gamma for the first time in the run
- Resistance 24,200 heaviest at 74 lakh calls, almost 42 lakh added yesterday
- Pros flipped the call book net short, a fourth flip in about a week
- FII futures short a new run high at 2.22 lakh while buying 1,143 crore of cash
- The crowd re-sold 70,902 naked puts, taking that book back to 7.57 lakh
- Oil up 11 percent in six sessions and Asia down 2 to 3 percent
- Plan on record: band 23,930 to 24,190, spreads only, do not judge the day at the auction
Transcript Excerpt
A very good morning, guys. Yesterday the auction gave it all back. So the thing is, the closing auction session on Monday printed ITC at 255.50. The market had spent six hours trading it at 262.30. Yesterday, with the continuous market open again, ITC closed at 266.60, up 4.34 percent. That is not one stock having a good day. I ran it across the whole auction list, and it is a mechanism. Of the 70 stocks that were marked almost 1 percent up on Monday, 69 of them fell yesterday. So 69 out of 70. And in the 1,975 stocks that are not in the closing auction session, the same test finds nothing at all. This is The Tanmay Edge. You are listening to episode 116. I am Tanmay Kurtkoti. So let's go. So first the CAS, because that is where the market microstructure is changing. Here is how I ran it, so you can check me. The universe is the 210 futures and options stocks, which is the closing auction list. The control group is the other 1,975 traded stocks which are not present in the auction group. For Monday I measured the auction print against each stock's own average for the day, that is how it traded from 9:15 to 3:15. For yesterday I measured the plain return, Tuesday's close against Monday's close. Then I correlated the two of them. Inside the auction, the correlation is minus 0.712. That is, the stocks Monday marked up, Tuesday they all gave back. And the stocks Monday marked down were positive on Tuesday. Outside the auction, the correlation is plus 0.018, which is zero. Consider that. The regression slope inside the auction is minus 1.037. In plain words, on average the market gave back the entire Monday dislocation, one for one, the very next day. And the buckets. Marked up more than 1 percent by Monday's auction, 70 stocks, 69 fell yesterday, average minus 2.73 percent. Marked down on Monday more than 1 percent, 24 stocks, out of which 17 rose yesterday, average plus 0.77 percent. Of the 44 names that printed more than 2 percent away from their own day, 40 revers…
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