Season 2, Episode 118 | 2026-09-04
It Is Not Volume. It Is One Way Flow. | Three Tests In Three Days Settle The Closing Auction Argument | On Expiry Day It Mispriced One Stock Out Of 210 Against 72 Out Of 1,955 Outside It
AND THE PRINT DID IT AGAIN. The Nifty's low was 23,873.45 and its close was 23,873.45. The Sensex low 76,152.86, close 76,152.86. The BANKEX the same, while finishing UP 0.08 percent, so this is not about direction.
Verdict: 3.5/5 | 2 HIT, 2 PARTIAL, 1 MISS | graded next morning against NSE settlement data.
Cold Open | It Is Not The Volume, It Is One Way Flow
It is not the volume. It is one way flow. Three days, three tests, and yesterday finished the argument. Yesterday was the Sensex expiry, the busiest, most crowded session of the week. And on that day the closing auction session mispriced one stock out of 210 by more than 2 percent. The stocks that are not in the auction managed 72 out of 1,955. The auction was seven times better than the rest of the market on the heaviest day of the week. So it is not the size that breaks it.
The Three Tests Side By Side
31st August, the MSCI rebalance, 44 of 210 mispriced by more than 2 percent, four times worse than everything else. 2nd September, an ordinary Wednesday, three of 210, three times better. 3rd September, the Sensex expiry, one of 210, seven times better. Expiry has enormous volume and the auction ate it without blinking. What broke it in August was not the volume. It was flow with one direction, one head, one deadline and a name list of stocks. Passive money has to buy, has to buy those exact names, and has to be finished by the close. That is what the auction cannot absorb. The auction handles…
The Print Did It Again, The Other Way
The Nifty's low yesterday was 23,873 and its close was 23,873. The low was equal to the cash closing. The Sensex low was 76,152 and the close was 76,152. The Bankex, the same. Three indices printed the day's low as the close, two sessions after they printed the high as the close. So the charts are completely messed up and the closing prices are completely messed up. The Sensex indicative at 15:20 flashed 74,373 and it settled 76,152. That is a 1,780 point swing in less than eight minutes. The same thing happened on 27th August, the indicative was 75,098 against a settlement of 76,933. Third ti…
The Receipt | Defined Risk Priced In Advance
So yesterday I gave you an iron fly. Sell the 76,700 call and put, buy the 76,400 put and the 77,000 call. The credit was 237. And around 3 pm the same was trading around 170. So the wings cost 212 and saved 34 on the day. That is the defined risk I am talking about. The tape yesterday: the Nifty was down 41 points, minus 0.17 percent, the Sensex down 417 points, minus 0.55 percent, IT minus 1 percent. India VIX slipped again and is still under 12. Cash turnover was 1 lakh 7,700 crore from 1 lakh 12,965 crore, so the cash volume is still going down every day.
A Rotation, Not A Rally
The index did nothing and everything below it went up. The Nifty 500 printed 307 advances against 190 declines, and the total market 460 against 285, after four straight bad breadth sessions. That is a complete flip. Smallcap 50 up 1.24 percent with 37 up and 13 down, Smallcap 250 up 1.03 percent, Smallcap 500 up 0.9 percent, against the Nifty 50 at minus 0.17 with a breadth of 21 up and 29 down. Realty plus 2.58 percent, media plus 1.74, PSU banks plus 0.48, private banks plus 0.5, Nifty Bank plus 0.3. And IT was minus 0.85 percent. This is a rotation, not a rally. Money left the index and we…
The Board | The Biggest One Day Call Build Of The Run
Calls 2,032 lakh, puts 1,334 lakh, PCR 0.656, calls written at 2.1 times the pace of the puts. 24,000 took 96 lakh calls in one session and the total now stands at 1.83 crore. That is the biggest resistance we are going to face going ahead. Then 24,100 at 1.21 crore, 24,050 at 38 lakh, and 24,300 with around 29 lakh added. Support is at 23,500 with 1.05 crore, then 23,600 at 82 lakh, and 24,000 also has a decent buildup on the put side of around 74 lakh. Max pain sits at 23,950, almost 77 points above the spot, so for once the magnet is in front of us, not behind us. The gamma flip is at 23,90…
The Plan | The Real Trade Is Not The Index
Implied volatility is under 10 percent, the one day standard deviation is plus or minus 117 points, so 23,758 to 23,989. The 23,900 straddle is 214 over four days, about 134 points a day, so the band comes around 23,750 to 24,000. The pros flipped their call book net short again, a sixth flip in about 10 days, so it has no view at all. The FIIs added another 6,000 futures short to 2,35,102, another run high. And the crowd sold 89,000 more naked puts, taking that book to 8 lakh, the largest since the 8.44 lakh book that expired worthless on 26th August. Remember how that ended. On the flows the…
Highlights
- Third test run on Sensex expiry, the busiest session of the week
- The auction mispriced one stock of 210 by more than 2 percent
- The non-auction market managed 72 of 1,955, so the auction was seven times better
- All three tests: rebalance four times worse, ordinary day three times better, expiry seven times better
- Verdict: the auction handles volume, it does not handle one way flow
- Nifty low 23,873 equalled its close, Sensex low 76,152 equalled its close, Bankex the same
- Three indices printed the day low as the close, two sessions after printing the high
- Sensex indicative flashed 74,373 at 15:20 against a 76,152 settle, 1,780 points
- Third time on record after the 75,098 against 76,933 print on 27 August
- The iron fly credit was 237 and the wings cost 212, saving 34 on the day
- Nifty down 41 points, Sensex down 417, IT minus 1 percent
- Cash turnover fell again to 1 lakh 7,700 crore
- Breadth flipped after four bad sessions, Nifty 500 307 up against 190 down
- Smallcap 50 up 1.24 percent, Realty plus 2.58, while IT fell 0.85
- 24,000 took 96 lakh calls in one session, the biggest one day build of the run
- 24,000 call total now 1.83 crore, the biggest resistance ahead
- PCR 0.656 with calls written at 2.1 times the pace of puts
- Max pain 23,950 sits 77 points above spot, so the magnet is in front for once
- Gamma flip at 23,900 with the spot 27 points under it
- September basis widened 34 to 85 to 126 across three sessions
- Pros flipped the call book net short again, a sixth flip in about 10 days
- Crowd sold 89,000 more naked puts, taking that book to 8 lakh
- FIIs sold 2,346 crore cash but bought 7,186 crore of index options
- Plan on record: 24,000 the most defended strike, band 23,750 to 24,000, spreads only
Transcript Excerpt
A very good morning, guys. It is not the volume. It is one way flow. So I am talking about the CAS. Three days, three tests, and yesterday finished the argument. Yesterday was the Sensex expiry, the busiest, most crowded session of the week. And on that day the closing auction session mispriced one stock out of 210 by more than 2 percent. The stocks that are not in the auction managed 72 out of 1,955. The auction was seven times better than the rest of the market on the heaviest day of the week. So it is not the size that breaks it. This is The Tanmay Edge. You are listening to episode 118. I am Tanmay Kurtkoti. Let's go. So the three tests side by side. 31st August, the MSCI rebalance, 44 of 210 mispriced by more than 2 percent, four times worse than everything else. 2nd September, an ordinary Wednesday, three of 210, three times better. 3rd September, the Sensex expiry, one of 210, seven times better. Expiry has enormous volume. The auction ate it without blinking. What broke it in August was not the volume. It was flow with one direction, one head, one deadline and a name list of stocks. Passive money has to buy, has to buy those exact names, and has to be finished by the close. That is what the auction cannot absorb. The auction handles volume. It does not handle one way flow. That is the whole arc, and it took three days and a control group to get there. And the print did it again, the other way. The Nifty's low yesterday was 23,873 and its close was 23,873. The low was equal to the cash closing. The Sensex low was 76,152 and the close was 76,152. The Bankex, the same. Three indices printed the day's low as the close, two sessions after they printed the high as the close. So the charts are completely messed up and the closing prices are completely messed up. The Sensex indicative at 15:20 flashed 74,373. It settled 76,152. That is a 1,780 point swing in less than eight minutes. The same thing happened on 27th August also, the indicative was 75,098 against a…
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