Nifty closed 24364 Monday. Flat on the surface. Underneath, the option chain moved 500 points and IV expanded 48 percent in one session. You do not get that print before a boring expiry.

This morning GIFT Nifty is trading 24402, up 60 points. Asia is leading with KOSPI up 2.15, Nikkei up 1.34, Taiwan up 1.90. Europe closed heavy Monday. US futures are mixed. The set up is a gap up into mean reversion.

The straddle is 267.45. One standard deviation is 334 points. Expected range today is 24031 to 24699. That is a 668 point band for an expiry day. The market is priced for a move, not a pin.

The chain restructured bullish. Put writers walked up from 23000 to 23500 and 23700. Call writers covered 1.27 crore far out of the money contracts and stacked a trap at 24500. Pro flipped back long 3671 futures and doubled their long put book.  ...