The Tanmay Edge | India's pre-market edge, every trading day.

by Tanmay Kurtkoti

Season 2

S2Ep123 | I Called The Pin And It Landed Inside Three Points. I Also Told You To Buy Volatility And That Leg Lost 349. | Brent Went Vertical To 107.85 | The Nikkei Is Down Three Percent | 11th Sept Friday

I called the pin yesterday and it landed inside three points. I also told you to buy volatility, and that leg lost 349 points. And this morning Brent is 107.85 and the Nikkei is down three percent. THE RECEIPT, BOTH HALVES. I said we would open below 75,000, that it was max pain and the strike traders would try to reclaim, and that the magnet should hold it. We opened 74,742.54, the high was 74,910.96 so it came 89 points short and never reclaimed it, and it settled 74,902.59 while the final max pain on the settlement file was 74,900. Two point five nine points, the closest pin this show has put on record. Now the half that lost: the 74,800 straddle cost 452.35 the night before, the day's range was 312 points, and at settlement it was worth 102.59. A long straddle held to the close lost 349.76. Being right about where it settles and wrong about how far it travels is one call, not two, and you get both halves. Trading light is the only reason it did not hurt more. THE INDEX ROSE AND TWO IN THREE STOCKS FELL. The Nifty closed 23,477.80, up 46 points, but the cash market was 934 up against 1,667 down, the same advance decline ratio as the day before when the index fell. A narrow bounce on unchanged breadth, not a recovery. And every sector that worked on Wednesday failed on Thursday: banks led, IT stopped falling after exactly one day, while Adani Ports gave back to minus 0.39 from plus 3.80. Nothing led two days running. 23,400 IS THE MAP. The both sides strike has walked 23,700, then 23,500, then 23,400 in three sessions, and the biggest call add of 38.76 lakh and the second biggest put add both landed there, 78 points below spot. Meanwhile 23,500 broke its symmetry: calls added 36.41 lakh while puts were taken off 18.01 lakh, so the put writers walked away and the call writers piled in. That turns a magnet into a ceiling. Max pain came down to 23,500, only 22 points above spot, which is what the Sensex magnet did in the two days before it pinned. One oddity: the biggest put add on the whole board was 34.28 lakh at 22,500, 977 points below spot. That is not a level, that is a tail hedge bought on a green day. OIL WENT VERTICAL. Brent settled 107.63 from 101.21, up 6.42 dollars and 6.3 percent in one session, and it is 107.85 this morning after opening at 109.05. WTI crossed 100 too. Three mornings ago it was 66 cents from 100 and named the risk that outranked everything. And Asia is in a rout: Nikkei down 3.06 percent, KOSPI 2.54, Taiwan 1.73, Shanghai 1.48, against a GIFT Nifty down only 0.49. Either we catch down or the domestic bid is real. The American ten year is 4.97, three basis points from 5 percent, and India has finally started to move with it. Gold fell to 4,326 and was downgraded back to bearish, which says this is a rates and supply trade rather than a fear trade. THE PLAN. GIFT at 23,346 puts the open at 23,290 to 23,340, a gap down of 140 to 190 points that starts us below both the band low and the 23,400 strike for the first time in this sequence. Reclaim 23,400 and 23,500 comes back into play. Fail it and 23,200 is next. Resistance 23,400, then 23,500, then 23,600. Support 23,364, then 23,200, then 23,000. Band 23,364 to 23,592. Three sessions to expiry, volatility has given back its spike to 11.72 and the 23,400 straddle is only 210, so this is a bad setup for selling premium and a thin one for buying it. Defined risk only if anything at all. Prior episode graded 4.5 on 5. Full scorecard on rupeecase.com.

S2 · E123

Sep 11, 2026

8:36

S2Ep122 | Three Indices Closed At The Exact Low, And Brent Crossed 100 And Held It All Night | There Is No Green In Asia This Morning | Both Sides Just Piled Onto 23,500 | 10th Sept Thursday

Three indices closed yesterday at the exact low of the day. Not near the low. On it. Brent crossed 100 and then held above it all night. And this morning there is no green anywhere in Asia. THE CLOSE. The Nifty settled 23,431.50, down 203.60, and the low of the day was 23,431.50, the same number. The Sensex and the BANKEX did the same. There was no bounce into the close and nobody stepped in at the end. India VIX rose about six and a half percent to just under 12, the first real bid for volatility in this entire run. 23,500 IS THE MAP. The biggest call add on the entire 15 September board was 72.19 lakh at 23,500, and the biggest put add was 34.82 lakh at the same strike. Both sides landed on one price again, and this time it sits 68 points above us rather than below. Under it a magnet, and a trigger once taken and held. Put call ratio 0.591, max pain 23,600, band 23,310 to 23,550, so max pain sits above the top of the band and the board wants a level today's own volatility does not reach. THE SENSEX EXPIRES TODAY with max pain 75,000, 236 points above spot, against 75,900 on Tuesday's file. The market fell 813 points and the magnet fell 900. That is the opposite of the Nifty expiry, where the magnet sat still and the market walked away from it. A magnet that follows the market is being repriced, not defended. POSITIONING. The foreign index futures short went to 2,76,250, another run high, and has never once turned in this run. But one book changed sides: professional desks went from net short 44,990 index calls to net long 14,552, so they stopped selling upside and started buying it on the day the index closed on its low. Retail sold 88,058 more naked puts, to 8,31,678 short. OIL, AND IT HELD. Brent settled 101.21 and is 101.12 this morning, after an overnight range of 100.94 to 101.90. The entire range sat above 100, so this is a hold rather than a spike. Yesterday morning it was 66 cents away and named as the risk that outranked everything else; it took one day. The rupee weakened again to 95.11, against the pound, the euro, the yen and the yuan, on a day the dollar index did nothing, for a second session running. THE BOND SELLOFF WENT GLOBAL. Europe closed down hard, the CAC minus 1.98 and the DAX minus 1.69, while German yields rose 2.85 percent and French 2.47. This morning Japan is up 1.68, and Korea, Brazil, Canada, Australia and America all rose too. Yesterday this was a European story; today it is a global one, and India is the only major that has not moved. And there is no green in Asia at all: Hang Seng minus 1.52, KOSPI minus 1.03, Taiwan minus 0.93, Nikkei minus 0.88, when last night the KOSPI was up 1.38. THE PLAN. GIFT Nifty is 23,496, up 5.50, which puts the open at 23,420 to 23,460, so we start flat and roughly on yesterday's low. Asia is red, Europe closed down two percent, yields are rising almost everywhere, and we are flat. That combination is the market refusing to follow, and it only stays true until the first hour says otherwise. Resistance 23,500, then 23,600, then 23,700. Support 23,400, then 23,300, then 23,000 a long way back. Band 23,310 to 23,550. No new structure unless the market comes to a level, because volatility just turned up off a very low base and that makes selling premium a worse trade today than it was yesterday. Prior episode graded 4 on 5. Full scorecard on rupeecase.com. Data sourced from NSE, BSE, SEBI, NSDL and CDSL. Cash and option figures are the 9 September close, global figures the morning of 10 September. New episode every trading day at 8:30 AM IST, streaming first on rupeecase.com. Educational content, not investment advice. SEBI RA application under process.

S2 · E122

Sep 10, 2026

8:57

S2Ep121 | I Got The Direction Wrong And The Fly Lost 73.55, Which Is The Exact Number I Published Before I Entered It | The Wings Saved 33 Points | And My Model Projected The Settlement To Within 2.85 Points | 9th Sept Wed

I got yesterday's direction wrong. The iron fly lost 73.55 points, which is the exact number I published before I entered it. Those are two different skills, and only one of them is optional. THE RECEIPT. The Nifty settled 23,635.10 against my stated target of 23,900, and with a high of 23,758.95 it was never in play. The 23,700 put I owned settled 74.25 from 25.80, and that is the leg that did the work. A naked 23,900 straddle lost 106.55 over the same settlement, so the wings saved 33 points. Thursday they saved 34.34, Friday they cost 34.10, yesterday 33.00. Three receipts within a point and a half of each other. The level was on record too: I said 23,700 decides it, and below it look for 23,650 and 23,600. It broke early and never came back. Low 23,623.10, settlement 23,635.10, right between the two levels I named. THE INDEX FELL THREE TIMES HARDER THAN THE MARKET UNDER IT. Nifty 50 minus 0.61 percent, but the Nifty 500 only 0.22 and the Next 50 actually up 0.52. India Defence rose 2.50 percent with eighteen of nineteen names higher. ICICI Bank fell 2.00, Axis 1.72, Reliance 1.16, HDFC Bank 1.11. Five large banks and Reliance took the index down and the other 490 stocks did not get the message. THE NEW BOARD. Day one of the 15 September series added 476.19 lakh calls and 299.12 lakh puts, put call ratio 0.649, max pain 23,750. The biggest call add was 40.66 lakh at 23,700 and one of the biggest put adds was 23.84 lakh at the same strike. Both sides piled onto one price on day one, and a level both sides defend is a magnet while you are under it and a trigger the moment you take it. The basis came back to plus 114.50 with futures open interest up 2.73 lakh, so that was fresh buying. The foreign futures short went to 2,61,557, another run high and the one book that has never turned. THE MODEL. My Nifty model projected 23,637.95 against a settlement of 23,635.10, and the Sensex model 75,583.34 against 75,577.58. That is 2.85 points and 5.76 points, both inside six, on expiry day. OIL IS THE STORY THIS MORNING. Brent is 99.34, up 1.45 percent, 66 cents from 100, after 86.44, 95.73, 96.60, 97.32 and 97.09 over twelve sessions. A hundred dollar Brent is a different macro for an oil importer, and it is landing on a rupee that weakened against the pound, the euro, the yen and the yuan on a day the dollar index itself fell. Weak against everything is a domestic signal, not a dollar signal. THE PLAN. GIFT Nifty 23,662.00 puts the open at 23,560 to 23,600, a gap down of 40 to 75 points, which opens us below 23,600. So the first question is whether we reclaim 23,600, and 23,700 becomes the second question rather than the first. Resistance 23,700, then 23,750 and 23,800. Support 23,600, then 23,500. Band 23,520 to 23,750. The weekly board points to 23,750, the monthly to 24,200 and the foreign futures short points lower, and the one that has been right every day of this run is the short. No structure today unless the market comes to a level. After a settlement that cost the maximum, the right size is smaller, not bigger. Prior episode graded 3 on 5. Full scorecard on rupeecase.com. Data sourced from NSE, BSE, SEBI, NSDL and CDSL. Cash and option figures are the 8 September close, global figures the morning of 9 September. New episode every trading day at 8:30 AM IST, streaming first on rupeecase.com. Educational content, not investment advice. SEBI RA application under process.

S2 · E121

Sep 9, 2026

10:22

S2Ep120 | Friday's Board Was Built For A Rally And It Took One Session To Take The Whole Thing Apart | 659 Lakh Calls Written, 189 Lakh Puts Covered | I Am Still Buying The Dip Into 23,600 With An Expiry Target Of 23,900 | 8th Sept Tuesday

Friday's option board was built for a rally: calls bought back, puts written, volatility crushed. It took the market one session to take the whole thing apart. Yesterday 659.17 lakh calls were written and 189.23 lakh puts were bought back, and the put call ratio fell from 0.844 to 0.556. THE RECEIPT. On record yesterday: the question was not whether we take 24,000, it was whether we reclaim 23,900, and if we failed there the people who wrote puts at that strike on Friday were the ones in trouble. The high was 23,890, ten points short. The 23,900 put went from 59.85 to 128.80, more than doubling, and 75.84 lakh of open interest came off as the writers bought themselves out. THE TAPE. Nifty 23,779.15, down half a percent. It opened 23,883.15, made its high in the first few minutes and fell all day to 23,737.90. Thirteen up and thirty seven down inside the index, 1,096 against 1,760 on the full market. The Sensex fell the same half percent and its low was not its close, ending a four session streak. WHERE THE MONEY WENT. Nifty IT fell 2.28 percent and it was not one name: Infosys minus 3.76 on 839 crore, LTTS minus 2.26, Mphasis minus 2.18, Tech Mahindra minus 2.06, with Coforge, Persistent, Oracle Financial, TCS and HCL Tech all following. Ten of ten. Against that, thirty five pharmaceutical names finished up more than 2 percent, the most of any industry, led by Anuh Pharma at plus 12.21 and Hikal at plus 9.54. The money did not leave, it walked from IT into pharma in one session. THE BOARD. 23,800 took 151.18 lakh calls in a single session, 23,900 took 119.70 and 23,850 took 107.23, so they sold calls at every strike from 23,750 up to 24,000. On the put side 23,900 lost 75.84 lakh, 23,950 lost 40.91 and 24,000 lost 26.49, buying back every put written on Friday. Max pain is 23,800, only 21 points above the close. Implied volatility 11.60 percent and one standard deviation 144 points. And the September basis collapsed to 88.55 from 150.40, a 62 point give-back, while futures open interest rose 7.02 lakh, so that was fresh selling at a lower premium rather than unwinding. The cash never validated that premium and the futures came to the cash. WHAT SHOULD WORRY YOU. The retail naked put book went to 8,89,308 from 7,16,258, so 1,73,050 more puts sold in one session, into a falling market, on the eve of expiry, and that is a new high for the run. Friday's reduction lasted exactly one day. The foreign index futures short went to 2,50,093, another run high, in a book that has risen every session and never once turned. OVERNIGHT. The Dow future is down 0.63 percent and kept falling overnight. Asia has cooled: the KOSPI is still up 1.75 percent but the Nikkei is back to plus 0.23 from plus 2.08, so the north Asia surge we were not part of has burned itself out in one session. Oil paused at 97.00. And the yen is up another 1.98 percent at 153.16, the biggest currency move of this run. THE STRUCTURE. An iron fly, body 23,900, wings 23,700 and 24,100. Credit 126.45, maximum loss 73.55, risk to reward 1 to 1.72, breakevens 23,773.55 and 24,026.45. Spot is already inside that payoff zone, maximum profit sits at exactly 23,900, and the whole target zone is in profit. It gets better if the dip comes. Held into settlement, not scalped. A defined risk fly into the close is fine; a naked short option is not. Prior episode graded 4 on 5. Full scorecard on rupeecase.com. Data sourced from NSE, BSE, SEBI, NSDL and CDSL. Option and cash figures are the 7 September close, global figures 8 September morning. New episode every trading day at 8:30 AM IST. The Tanmay Edge streams first on rupeecase.com. Educational content, not investment advice. SEBI RA application under process.

S2 · E120

Sep 8, 2026

10:34

S2Ep119 | The Board Got Ready For A Rally And The Close Did Not Get The Memo | Calls Covered, Puts Written, Volatility Crushed, And Now We Open 35 Points Lower | The First Question Today Is 23,900, Not 24,000 | 7th Sept Monday

On Friday every positioning signal on the Nifty option board moved the same way, and every one of them moved up. Calls were bought back, puts were written, volatility was crushed, the professional desks flipped long and retail stopped selling puts for the first time in six sessions. Then the market closed on its low, and this morning we open 35 points lower. THE TAPE. The Nifty finished 23,897.70, up a tenth of a percent. At 11:30 it was 24,005.75. By the close it had given back 108 points and finished 1.85 points off its own low. The Sensex closed 76,515.43, and that closing price was also its exact low, 367 points under the afternoon high. India VIX fell 6.44 percent to 10.61, under 11 for the first time in this run. WHAT LED WAS NOT WHAT LED ON THURSDAY. Sensex plus 0.48, Nifty plus 0.10, Bank Nifty minus 0.02, Midcap Select minus 0.31, Realty minus 0.66 after plus 2.58 the day before. The large caps led and the broader market did not, which is why my rotation call missed. In the stocks, the wires and cables complex broke: KEI minus 8.95 percent on 1,173 crore, Polycab minus 5.76 on 1,303 crore, RR Kabel minus 6.25, Dynamic Cables minus 10.36, with Finolex, Havells, Universal and Apar all following. Nine names in one industry, one afternoon, on real money. THE BOARD TURNED HARD. Call open interest fell 107.88 lakh. Put open interest rose 290.94 lakh. The put call ratio went from 0.656 to 0.844, the biggest one day jump of this run. 24,000 lost 32.15 lakh calls and 23,900 lost 27.45 lakh, while 23,900 gained 41.81 lakh puts and 23,800 gained 38.65. On Thursday 24,000 took 96 lakh calls in a single session. On Friday a third came straight back off. EVERYTHING IS NOW ON 24,000. Max pain moved up there from 23,950, the gamma flip moved up there from 23,900, and it is still the heaviest call strike at 151.78 lakh. Three things at one price, 102 points above the close, which means we sit 102 points inside negative gamma against 27 on Thursday. The September future closed 24,048.10, a basis of plus 150.40 after 34.50, 85.85 and 126.65, and the cash has not validated it once. THE ONE BOOK THAT DID NOT TURN. Professional desks flipped to net long calls, a swing of 1,48,130 contracts and the seventh flip in eleven sessions. Retail bought back 85,563 puts, the first cut after six sessions of building. But the foreign index futures short went to 2,35,838, another run high. OVERNIGHT, AND ASIA IS SPLIT DOWN THE MIDDLE. KOSPI plus 2.88 percent this morning, the Nikkei plus 2.30, Taiwan plus 1.42. Against that, Hang Seng minus 0.81, Singapore minus 0.50 and GIFT Nifty minus 0.14. Japan, Korea and Taiwan are flying and we are not in it, so do not let anyone tell you Asia is up. America closed lower on Friday and the Dow future is down another 0.29 percent, and every Indian ADR but two finished lower with Infosys down 3.23 percent in New York. Also a correction: I said on Friday the oil run had stalled. It has not. Brent is 96.60 and climbing again. THE PLAN. GIFT at 23,976.50 puts the open near 23,850 to 23,880, about 35 points lower, and that opens us below 23,900. Which changes the first question of the day. It is not whether we take 24,000. It is whether we reclaim 23,900. That strike carries 111.19 lakh puts and 41.81 lakh of them were written on Friday afternoon, so opening underneath it puts every one of those writers on the wrong side of their own strike. Reclaim it in the first hour and Friday's positioning starts working. Resistance 24,000, 24,100, 24,200. Support 23,900, then 23,800 and 23,500. Do not chase the first fifteen minutes of a gap down.

S2 · E119

Sep 7, 2026

10:18

S2Ep118 | 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 | 4th Sept Friday

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. Three indices printed the day's low as the closing print, two sessions after three of them printed the high. The Sensex indicative at 15:20 flashed 74,373 against a 76,152 settle, 1,780 points, the third time on record. THE RECEIPT. Yesterday's iron fly on air: sell the 76700 call and put, buy the 76400 put and the 77000 call, credit 237.20, view a settle between 76,700 and 77,000. It settled 76,152.86, so the view was wrong by 547 points. Result: minus 62.80, the maximum loss and the exact number stated before it started. A naked 76700 straddle sold at the same 450 would have lost 97.14, and had the Sensex settled 75,500 it loses 750 while the fly still loses 62.80. Defined risk is not about being right. It is about knowing the number before you start. THE TAPE, AND THE ROTATION UNDER IT. Nifty 23,873.45, down 41.00, minus 0.17 percent, open 23,997.95, high 24,025.40, low equal to the close. But the Nifty 500 was 307 advances against 190 declines and the total market 460 against 285, ending four straight bad breadth sessions. Smallcap 50 up 1.24 percent with 37 up and 13 down, Smallcap 250 up 1.03, against a Nifty 50 down 0.17. Realty rose 2.58 percent with ten of ten advancing, Media 1.74, REITs 1.47. IT fell 0.85 with one of ten up. This is a rotation, not a rally. THE BOARD. Calls 2,032 lakh against 1,334 lakh of puts, put call ratio 0.656. And 24,000 took 96.37 lakh calls in a single session, taking that strike to 183.93 lakh, the biggest one day build of this run. Then 24,100 at 121.38 lakh. Support 23,500 with 105.45 lakh puts, 23,800 with 71.56. Max pain 23,950, 77 points above spot, so for once the magnet is in front. Gamma flips at 23,900 with spot 27 points under it. Band 23,750 to 24,000. The September future closed 24,000.10, so the basis has gone 34.50, then 85.85, then 126.65 across three sessions. POSITIONING AND THE MORNING. Proprietary desks flipped the call book net short again, the sixth flip in about ten days. Foreigners sold 2,346 crore of cash but bought 7,186 crore of index options and 1,121 crore of stock futures: still long the companies, short the index. Retail sold 89,681 more naked puts, taking that book to 8.02 lakh, the largest since the one that expired worthless on 26 August. GIFT 24,023, pointing to an open near 23,950 to 23,980, with Hong Kong up 2.25 and the Nasdaq 1.40. Gold 4,472 and now rated bullish, the yen up another 1.75 percent, and the bonds finally eased. The screener flipped too: the global volatility signal went from rank one at 191 million to a sell, the dollar from strong buy to strong sell, and smallcaps, defence, chemicals and energy are all strong buys while the Nifty is still a strong sell. THE PLAN. Resistance 24,000, now the most defended strike on the board, then 24,100 and 24,200. Max pain 23,950 above spot, so expect a pull toward it early. Support 23,900, 23,800, 23,500. Band 23,750 to 24,000. The real trade is not the index: play the rotation, not the headline. Spreads only, and do not judge the day before the uncross. Prior episode graded 4 on 5. Full scorecard on rupeecase.com. Data sourced from NSE, BSE, SEBI, NSDL and CDSL. New episode every trading day at 8:30 AM IST. The Tanmay Edge streams first on rupeecase.com. Educational content, not investment advice. SEBI RA application under process.

S2 · E118

Sep 4, 2026

12:42

S2Ep117 | 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 | 3rd Sept Thursday

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. Day VWAP can be rebuilt from the BhavCopy as turnover divided by volume, validated on 2,186 names against the official average price with a median error of 0.0009 percent. AND YET. The Nifty's high for the day was 23,914.45 and its close was 23,914.45. The Sensex high 76,570.35, close 76,570.35. The BANKEX the same. Three indices printed the day's high as the closing print and the continuous market never traded above it. On the exchange's auction chart the indicative was near 23,930 at 15:20, 24,042 thirty seconds later, then nine minutes of decay to 23,914.45. That is 128 points, the day after 117. THE TAPE. Nifty 23,914.45, down 141.35, minus 0.59 percent. Open 23,858, a gap down of 198 points, low 23,786.80. 24000 finally went: it had broken intraday and closed above three sessions running, then gapped straight through at the open and never came back. Auto fell 1.79 percent with one of fourteen up, IT 1.25 with zero of ten up. Breadth bad a fourth session at 14 up against 36 down. THE BOARD, AND THE REAL NEWS IN IT. The put book moved down 200 points in a single session: 184 lakh puts added at 23900 and below, 39 lakh pulled off 24000 and above, with 23800 alone taking 48 lakh. The writers did not defend 24000, they rebuilt support two hundred points lower. Support 23800 at 78.26 lakh, then 23600. Resistance 24200 at 100.94 lakh calls, then 24000 at 87.56. Max pain 23950, gamma flips at 23900 with spot fourteen points above it, band 23,785 to 24,045. The September future closed 24,000.30 with the basis widening to plus 85.85, so the selling was in cash and not in futures. AND THE NUMBER THAT DOES NOT ADD UP. Foreigners bought 6,688 crore of cash, the biggest single day buy in months. Locals bought 2,813. That is 9,501 crore of institutional buying, and the index fell 141 points. The same foreigners bought 2,604 crore of stock futures and added 41,679 stock futures longs while pushing their index short to a run high and selling 51,192 more calls. Liking the companies and not the market, executed at size. THE MORNING. GIFT 24,102.50, up 0.57 percent, pointing to an open near 24,030 to 24,060. Asia has turned, Korea up 1.26, Nasdaq up 0.45. Gold reversed to 4,417 and the yen strengthened 1.29 percent. And every major bond market is at or under a 52 week yield high: America 4.78 against 4.82, Japan 2.96 against 3.02 printed yesterday, Germany 3.38 against 3.40, India 6.98 with the 30 year at 7.58. THE PLAN. A gap up into the zone the market spent all of yesterday underneath. Max pain 23950 sits below the likely open, so the magnet is behind rather than in front. A gap up into 24000 with the put support two hundred points lower is the setup for a fade, not a follow through. Sensex expiry today: max pain 76,500 with spot seventy above it. Spreads only, flat by 3:15, and do not judge the day before the uncross. Prior episode graded 2.5 on 5. Full scorecard on rupeecase.com. Data sourced from NSE, BSE, SEBI, NSDL and CDSL. New episode every trading day at 8:30 AM IST. The Tanmay Edge streams first on rupeecase.com. Educational content, not investment advice. SEBI RA application under process.

S2 · E117

Sep 3, 2026

8:40

S2Ep116 | 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. THE STUDY. Universe: the 210 futures and options stocks, which is the auction list. Control: the other 1,975 traded stocks, which are not in it. For Monday, each auction print measured against that stock's own average price for the day. For Tuesday, the plain return. Then correlate. Inside the auction: MINUS 0.712. Outside it: PLUS 0.018, which is zero. The regression slope inside the auction is minus 1.037, so on average the entire Monday dislocation was given back one for one the next day. THE BUCKETS. Of the 70 stocks the auction marked UP by more than 1 percent, 69 fell on Tuesday, average minus 2.73. Of the 24 marked down, 17 rose. Of the 44 printed more than 2 percent from their own day, 40 reversed. In the control group both buckets came out at minus 0.55 and minus 0.56, which is just the market. Bharti printed 1.93 below its own day and rose 3.60. Adani Ports printed 1.70 below and rose 3.41. ICICI Bank, the one big name marked UP at plus 1.26, fell 1.10. Maruti, marked up 1.02, fell 4.41. THE CAVEATS. One pair of days. Monday was the MSCI rebalance, so this is the effect at its maximum. Some of the reversal may be index flow unwinding. The control group removes the market wide explanation, not that one. What survives: Monday's closing price was not the price. AND TUESDAY IT HAPPENED AGAIN. The tape spent the last hour between 23,952 and 24,000. On the exchange's own auction chart the indicative was 24,008 at 15:20, 24,125 thirty seconds later, and decayed to 24,055.80 by 15:29. A 117 point swing in ten minutes with no index event. The auction added 71 points to the Nifty and 226 to the Sensex, and took 71 points of futures basis out without a single futures trade. THE TAPE. Nifty 24,055.80, minus 0.10 percent, open 24,077.55, high 24,143.15, low 23,952.55. So 24000 broke intraday for a third straight session and closed above it for a third straight session, and only the auction made that true. Sensex 76,944.28, flat. India VIX 11.25. Breadth bad a third day: Nifty 500 was 208 up against 291 down, Midcap 100 minus 1.39 against a Nifty at minus 0.10. THE BOARD, 8 September series, day one. Calls 1,042 lakh against 721 lakh of puts, written at twice the pace, PCR 0.692 from 0.966. Resistance 24200 at 73.95 lakh calls, 24500 at 72.31, 24100 at 64.21. Support 24000 at 53.50 lakh puts, 23600 at 48.35. Max pain 24100, 44 points above spot. Gamma positive above 23950 for the first time in this run. One standard deviation 125 points, band 23,930 to 24,190. POSITIONING. Pro flipped its call book net short for a fourth time in a week. FII added 12,717 futures shorts to a run high of 2,22,032 while buying 1,143 crore of cash, a hedged long and not a bear. The crowd sold 70,902 more naked puts back to 7.57 lakh after covering two sessions, and bought 66,301 more calls. THE MORNING. GIFT 24,043.50, minus 0.03. Korea minus 3.17, Japan about 2.75, Taiwan 1.19, Hong Kong 1.26. Nasdaq minus 1.03. Brent 95.77 against 86.44 last Wednesday. Gold 4,300 and bearish. Rupee 94.95. Everything moved. GIFT moved 7 points. The highest conviction long in the global screener is the VIX at 15,757. Prior episode graded 3 on 5. Full scorecard on rupeecase.com. Data sourced from NSE, BSE, SEBI, NSDL and CDSL. New episode every trading day at 8:30 AM IST. The Tanmay Edge streams first on rupeecase.com. Educational content, not investment advice. SEBI RA application under process.

S2 · E116

Sep 2, 2026

14:57

MSCI Rebalance: Reliance 87% Delivery, Adani Energy -10.4%, Zero Auction Dislocation In The Large Caps | 111 Micro-Caps Broke Anyway | IV Explodes 49%, Both Signals Flip To BUY VOL | S2Ep115 1st Sept Tuesday

Prices moved hard for it: Adani Energy Solutions minus 10.37%, Adani Enterprises minus 9.76%, Adani Ports minus 4.11%, Bharti minus 3.75%, ITC minus 3.67%. THE FINDING. Comparing every liquid stock's last traded price to its official close, across 1,678 names, the median difference was 0.000%. And in every one of the large MSCI names the difference was exactly zero: Reliance, Eternal, Adani Energy, Adani Enterprises, Bharti, Laurus, HDFC Bank all printed clean. On the heaviest scheduled flow day of the year, the closing auction was flawless in the large caps. It still broke in the same corner it broke last Thursday. 111 stocks closed more than 1% from their last traded price and 17 more than 2%, and every one is a micro-cap: Tarapur -3.94%, Odycorp -2.77%, Manali Petro -2.68%, Alok Industries -2.41%, International Conveyors -2.36%. The mechanism is not the problem. Depth is. THE TAPE. Nifty 24,080.40, down 95.25 (-0.39%), with a low of 23,993.60, so the 24000 wall was pierced intraday and closed back above it. Sensex 76,957.27, down 307.24. BANKEX up another 235.48 points, a third straight session of bank recovery, and Nifty Bank rose 0.92% against a Nifty that fell 0.39%. India VIX 11.04, up 3.37%. Media -2.84%, Metal -2.45%, FMCG -1.69%. Breadth for a second straight session: Nifty 500 178 up against 321 down, total market 279 against 469. THE BOARD, EXPIRY TODAY. Both sides added: call OI +282 lakh, put OI +183 lakh. 24000 puts took 68 lakh to reach 170.5 lakh, now the biggest single position on the board. 24100 is dead even at 101 lakh calls against 104 lakh puts, a strike ratio of 1.0. Calls stack above at 24300 (149 lakh), 24200 (130) and 24400 (130), while puts were removed above spot: 24200 minus 19.7 lakh, 24150 minus 16.9. PCR 0.776 to 0.966, a second straight rise. Max pain 24100, sitting 20 points above spot on expiry day, with gamma flipping positive at 24150. THE VOL SPIKE. Implied volatility on the expiring series exploded 49% in a day to 12.75%. For the first time in this run the model flipped from sell volatility to BUY volatility, and the screener agrees loudly: India VIX scored 672, its highest conviction long by an enormous distance. One standard deviation for expiry is 161 points, 23,920 to 24,241, with the ATM straddle at 183.75. WHO DID WHAT. Proprietary desks sold 1,09,002 calls, the third flip of that book in about a week. Foreign institutions added another 6,682 futures shorts. Retail bought 1,04,485 more calls and covered another 39,020 naked puts, taking that book from 7.61 lakh to 6.86 lakh in two sessions. THE FLOWS. Foreigners sold 7,985.88 crore of cash, bigger than Friday's 5,040 and the largest single-day sale of the month. Domestics bought 4,588.88 crore. Friday they absorbed it rupee for rupee and the index closed green; yesterday they did not, and it fell. Partial absorption. The cumulative foreign number for the month has flipped negative at minus 8,454 crore. THE MODEL. Sell from 24,214.40, projection 24,074.44, close 24,080.40. Just under six points, with the trade up 162 points. THE PLAN. 24000 is the wall with 170.5 lakh puts and it was already tested at 23,993. Max pain 24100 sits 20 points above spot. 24150 is the gamma gate. Range 23,920 to 24,241. The trade today is volatility, not the range: own defined-risk structures, do not sell premium naked. Prior episode graded 3.5 on 5. Data sourced from NSE, BSE, SEBI, NSDL and CDSL. New episode every trading day at 8:30 AM IST. The Tanmay Edge streams first on rupeecase.com. Educational content, not investment advice. SEBI RA application under process.

S2 · E115

Sep 1, 2026

10:39

S2Ep114 | The Banks Bought Themselves Back | BANKEX Recovers 650 of 1,094 Points | Puts +311 Lakh, Calls -36 Lakh, PCR Turns for the First Time in Four Sessions | 31st Aug Monday

On Thursday the closing auction knocked 1,094 points off the BANKEX and marked IndusInd Bank at 970 while the same share traded at 1,002.90 on the other exchange. Federal Bank at 334.10 against 344.80. PNB at 112 against 115.40. Canara at 125.05 against 128.14. On Friday the BANKEX took back 650 of those 1,094 points. Sixty percent, in a single session, with nothing changed at any of those banks. A continuous market reopened and repriced them. That is the cleanest proof available that Thursday's marks were mechanical, not fundamental. And the auction behaved differently on Friday: it ADDED points. The Nifty tape sat near 24,150 into 15:25, spiked toward 24,245 in the closing window and printed 24,175.65. For the first time in four sessions the close was not the low. THE TAPE. Nifty 24,175.65, up 84.80, up 0.35 percent, low 24,076.85, high 24,188.30. Sensex 77,264.51, up 330.92, up 0.43 percent. BANKEX 64,963.48, up 1.01 percent, against a Nifty Bank that finished flat at minus 0.02 percent, with the recovery concentrated in exactly the names the auction had marked down. India VIX 10.66, down 3.7 percent, back under eleven after three straight rises. ONE SECTOR DID IT. Nifty IT rose 3.51 percent with ten of ten constituents advancing. TCS plus 4.09, Infosys plus 3.34, Tech Mahindra plus 3.18, HCL Tech plus 2.68. BSE Focused IT plus 3.42 percent. The top four slots on the Sensex 30 were all IT. And the warning underneath it: the Nifty 50 was 30 up against 19 down, but the Nifty 500 was 225 up against 271 down and the total market 350 against 396. The index rose while the average stock fell. THE BOARD FLIPPED. After three straight sessions of calls being written three and a half times faster than puts, Friday reversed it entirely. Put open interest was ADDED 311 lakh. Call open interest was REDUCED 36 lakh. 44.4 lakh puts onto 24100, taking it to 99.2 lakh, the biggest single add. 31.6 lakh onto 24000, taking it to 102.6 lakh, now the biggest put position on the board. Calls came off where the resistance is: 17.5 lakh off 24400, 9 lakh off 24200. The put call ratio went 0.593 to 0.776, its first rise in four sessions. Max pain held 24200 with spot 24 points below it on expiry eve, and the gamma gate moved down to 24250. THE MATHS. Implied volatility 8.66 with the model flagging options rich. One standard deviation into Tuesday's expiry is 110 points, 24,066 to 24,285. The lower edge sits almost exactly on Friday's low of 24,076.85 and the upper edge just under 24300. The band brackets the magnet. WHO DID WHAT. The pros bought back 1,62,095 calls and flipped from net short calls to net long in one session, their second call-book flip in a week. The foreigners covered 35,836 call shorts but added 4,841 futures shorts, taking that book back above two lakh. The crowd sold 1,97,956 calls, the biggest single-day sale of this run, and covered 35,917 naked puts, the first reduction in four sessions, taking that book from 7.61 lakh to 7.25 lakh. THE FLOWS. Foreigners sold 5,040 crore of cash, the largest single-day sale of the month, on a day the index closed up 0.35 percent. Domestics bought 5,184 crore and absorbed it almost rupee for rupee. Cumulatively the foreigners are down to 454 crore for the month against 53,679 crore from the locals. THE PLAN. 24000 to 24100 is the strongest support on the board, 202 lakh puts across the two strikes with Friday's low at 24,076.85. Max pain 24200 sits just above spot into Tuesday's expiry. 24250 is the gamma gate, 24300 the resistance with 130.8 lakh calls on it. Range 24,066 to 24,285. Below 24000 the crowd is still short 7.25 lakh naked puts and the next support is 23900. Expiry tomorrow: spreads only, never naked.

S2 · E114

Aug 31, 2026

8:45

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