Season 2, Episode 117 | 2026-09-03
I Tested My Own Finding And It Did Not Repeat | Correlation Minus 0.712 On The Rebalance Day, Minus 0.087 On A Normal One | 44 Stocks Mispriced Then, One Now | The Auction Is Not Broken, It Is Thin
sion and it comes apart when size turns up. That is a depth problem, not a design problem.METHOD NOTE. The reversal test no longer needs the delivery file.
Verdict: 4/5 | 4 HIT, 1 MISS | graded next morning against NSE settlement data.
Cold Open | The Replication Failed, And That Is The Story
Yesterday I told you the closing auction session mismarks stocks and the market hands it back the next day. The correlation was minus 0.712, the slope minus 1.037, 69 out of 70 handed it back on Tuesday. I also told you on air that it was one pair of days, and that Monday was the MSCI rebalance. So I ran the next pair, an ordinary Tuesday into Wednesday. Correlation minus 0.087, slope minus 0.234. Nothing. That could have gone in a drawer and none of us would have known.
Why It Did Not Repeat | Thin, Not Broken
The reason it did not repeat is more useful than the finding was. On the rebalance day, 44 of the 210 stocks in the auction printed more than 2 percent away from their own average price. On a normal day, three did, out of 210. And in the control group, the stocks that are not in the auction at all, 4.2 percent of them missed by that much. So on an ordinary Wednesday, the auction was better than everything else in the market. On the rebalance day, it was four times worse. So the honest answer, the one that survives a control day, is this. The auction is not broken. It is still thin. It handles …
And Yet | Three Indices Printed The High As The Close
Look at yesterday's close. The Nifty's high for the day was 23,914 and its close was 23,914. The Sensex high was 76,570 and the close was 76,570. Three indices printed the day high as the closing print, and the continuous market never once traded above it. On the auction chart, the indicative was near 23,930 at twenty past three, and 24,042 thirty seconds later. Then nine minutes of decay to 23,914. That is 128 points, the day after 117 points. So both things are true at once. The marks are small on a normal day, and the window is still wide.
The Tape | 24,000 Finally Went
The Nifty closed 23,914, down 141 points. The open was 23,858, a gap down of 198 points, and the low was 23,786. And 24,000 finally went. It had broken intraday and closed above it three sessions running; yesterday it gapped straight through it at the open and never came back. The Sensex closed 76,570, down 380 points. India VIX is still under 12, and I am not quoting the decimal because the two feeds disagree. What did the damage was not banks, for once. Auto fell 1.79 percent with one of the 14 up. IT fell 1.25 percent with zero of ten up. The Nifty Bank was minus 0.41 with 7 up and 7 down. …
The Board | The Put Book Moved 200 Points In One Session
Calls 1,466 lakh, puts 1,069 lakh. Max pain 23,950, sitting 35 points above the spot. And the put book moved 200 points in one session. 1.84 lakh puts were added at 23,900 and below, and 39 lakh were pulled off from 24,000 and above. They rebuilt the support 200 points lower. Support is now at 23,800 and 23,900, then 23,600. Resistance is at 24,200, the heaviest at 1 crore calls, then 24,000 at 88 lakh. The gamma flip happens at 23,900 to 23,950 and the spot closed 14 points above it, so we are sitting exactly on it, with a band of 23,800 to 24,050. And the futures held what the cash did not: …
The Thing That Does Not Add Up
The pros flipped their call book back to net long, the fifth flip in a week, so stop reading it as a view. The foreigners added another 7,000 futures short and sold 51,000 more calls. The crowd covered 44,000 naked puts. Now the thing that does not add up. The foreigners bought 6,688 crore in cash, the biggest single day buy in months. The locals bought 2,813. So 9,501 crore of institutional buying, and the index fell 141 points. Somebody was selling into all of it, and this data does not name them. It only tells you the buyers were not in charge. And the same foreigners bought 2,600 crore of …
The Plan | The Magnet Is Behind Us
GIFT Nifty is at 24,102, up 0.57 percent, pointing to an open near 24,030 to 24,050, a gap up of around 135 points. Asia has steadied, Korea is up 1.26, the Nasdaq closed up 0.45. Gold reversed hard to 4,417 from 4,300, the yen strengthened 1.29 percent, America is at 4.78 against a 52 week high of 4.82, India at 6.98 with the 30 year at 7.58. Stocks bouncing, the yen up more than a percent, the VIX at 17, and every major bond market sitting on its high yield. Those four do not usually belong in the same paragraph. Episode 116 gets a 2.5 out of 5: the conditional was right, below 23,950 it tre…
Highlights
- The EP116 finding did not replicate on a control day: correlation minus 0.087, slope minus 0.234
- Against minus 0.712 and slope minus 1.037 on the MSCI rebalance pair
- 44 of the 210 auction stocks printed more than 2 percent from their own average on rebalance day
- On a normal day three of 210 did, and the non-auction control was worse at 4.2 percent
- On an ordinary Wednesday the auction beat everything else in the market
- On the rebalance day it was four times worse
- Verdict: the auction is not broken, it is thin, a depth problem not a design problem
- Nifty high 23,914 equalled its close, and the Sensex high 76,570 equalled its close
- Three indices printed the day high as the closing print
- The indicative ran 23,930 to 24,042 in thirty seconds, then decayed to 23,914
- 128 points of auction swing, the day after 117 points
- Nifty closed 23,914, down 141, after a 198 point gap down open
- 24,000 finally went after three sessions of closing above it
- Auto fell 1.79 percent with one of 14 up, IT fell 1.25 with zero of ten up
- Breadth bad for a fourth session, 14 up against 36 down in the Nifty 50
- 1.84 lakh puts added at 23,900 and below, 39 lakh pulled off 24,000 and above
- The put book moved its support 200 points lower in one session
- Max pain 23,950, sitting 35 points above the spot
- September contract closed at 24,000 with the basis widened to plus 86
- Pros flipped the call book back to net long, a fifth flip in a week
- FIIs bought 6,688 crore cash, the biggest single day buy in months
- 9,501 crore of institutional buying and the index still fell 141 points
- FIIs added 41,679 stock futures longs while shorting the index harder
- Plan on record: magnet behind the open, a gap up into 24,000 is a fade setup not a follow through
Transcript Excerpt
A very good morning, guys. Yesterday I told you the closing auction session mismarks stocks and the market hands it back the next day. The correlation was minus 0.712, the slope minus 1.037, 69 out of 70 handed it back on Tuesday. I also told you on air that it was one pair of days, and that Monday was the MSCI rebalance. So I ran the next pair, an ordinary Tuesday into Wednesday. Correlation minus 0.087, slope minus 0.234. Nothing. This is The Tanmay Edge. You are listening to episode 117. I am Tanmay Kurtkoti. Let's go. That could have gone in a drawer and none of us would have known. But the reason it did not repeat is more useful than the finding was. On the rebalance day, 44 of the 210 stocks in the auction printed more than 2 percent away from their own average price. On a normal day, three did, out of 210. And in the control group, the stocks that are not in the auction at all, 4.2 percent of them missed by that much. So on an ordinary Wednesday, the auction was better than everything else in the market. On the rebalance day, it was four times worse. So the honest answer, the one that survives a control day, is this. The auction is not broken. It is still thin. It handles an ordinary session perfectly well and it comes apart the moment size turns up. That is the depth problem, not a design problem. And it is exactly what the regulator's own paper worried about. I would rather give you the version that survives the second test than one that sounded better on Wednesday. And yet, look at yesterday's close. The Nifty's high for the day was 23,914 and its close was 23,914. The Sensex high was 76,570 and the close was 76,570. Three indices printed the day high as the closing print, and the continuous market never once traded above it. On the auction chart, the indicative was near 23,930 at twenty past three, and 24,042 thirty seconds later. Then nine minutes of decay to 23,914. That is 128 points, the day after 117 points. So both things are true at once. The ma…
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