For four episodes the story was the same: the market was pricing calm far too cheaply into one day. That day is today. At 10 o'clock the Reserve Bank decides on rates, and the calm is gone. The fear gauge has climbed three sessions in a row, from a three month low of 11.76 to 12.19, the internal volatility read has gone from about 8 to almost 14, and the weekly straddle has roughly doubled. The vol expansion I flagged last Monday is here, and the professional desks that bought cheap insurance on both sides last week were right, and early.

First the housekeeping, because it decides how you read the screen. The new closing auction has now misfired two days running. Monday it printed the Nifty 188 points too high. Yesterday, on weekly expiry, it did it again, spiking the settlement about 120 to 150 points above where the market actually traded ...