01Cold open: foreign desk three leg flip in one session
Yesterday the foreign desk did three things in one day that took six weeks to set up. They bought 822 crore of cash equities. First buy day of May after twenty-two trading sessions of selling. They covered another 10,015 short futures contracts on the index. Second straight day of covering after Friday's first crack.
And they covered 1,18,115 short calls on the chain. Cash buy, futures cover, call cover. All same session.
Six weeks of stacking shorts. Two days of unwinding them. That is not a head-fake. That is the desk that called the top in April unwinding the trade.
02Segment 1: Monday close the rally that closed green
Sensex closed 76,488. Up 1073 points. Up 1.42 percent. Nifty closed 24,031. Up 312 points. Up 1.32 percent. Bank Nifty led at plus 2.29 percent and closed 55,293. PSU Bank up 2.90. Financial Services up 2.24. Auto up 1.71. Realty up 1.50.
India VIX crushed 6.74 percent to 16.70. The lowest VIX print since the 11 May Iran crash.
Forty-two of the Nifty fifty closed green. Eight closed red. The only Sensex names that finished negative were Tata Consultancy, Infosys, Sun Pharma, and Hindustan Unilever. Everything else moved one way. Up.
03Segment 2: the chain migrated 200 points up
Friday the magnet was at 23,750. The biggest single-strike put stack of May sat there. Yesterday the writers moved the entire chain up.
The 24,000 strike added 97 lakh fresh put contracts in one session. Biggest single-strike single-day put add of the entire May series. Another 77 lakh puts at 23,900. Another 68 lakh at 23,950. Below the magnet, the floor is 23,900 to 23,950.
Above the magnet, they rebuilt the wall in fresh OI. 34 lakh fresh call contracts at 24,400. 26 lakh at 24,300. 20 lakh at 24,200. The mega-cluster at 24,500 sits at 111 lakh contracts and is unreachable in one session.
04Segment 3: 24,000 is the expiry magnet and the straddle math
Read that one more time. The chain is no longer pinning Tuesday at 23,800. The chain is pinning Tuesday at 24,000.
The 24,000 strike alone now carries 130 lakh puts and 99 lakh calls. That is 229 lakh contracts of OI parked at one strike on expiry day. The straddle at 24,000 closed at 174.25 yesterday. The chain says the move today is roughly 174 points either side. That puts the implied band at 23,857 on the downside and 24,206 on the upside. With the 1.25 multiplier the wider band is 23,814 to 24,249.
The May Future closed 24,063 with a premium of 31 over the cash. The June Future closed 24,123 with a premium of 73. Bullish carry both contracts. Both pricing in upside continuation.
05Segment 4: five step trade plan and the floor at 23,900
Buy on dips with a hedge. Five steps.
One. Do not chase the open. GIFT Nifty at 24,040 this morning, 8 points above yesterday's cash close. Wait for the 9:30 print. Almost every expiry day the writers fade the first hour to test the magnet.
Two. Buy zone today is 23,900 to 23,950. That is where the put writers parked 77 plus 68 lakh fresh contracts yesterday. Touch 23,930 in the first hour and you are at the support. Add long futures or long delta. Target Tuesday close 24,000 by 3:30 PM.
Three. Sell the 24,200 call at 33 and the 24,300 call at 16. Writers added a combined 46 lakh fresh calls on those two strikes. They want the chain to settle below 24,200. Premium melts to zero by close.
Four. Above 24,249 take the call shorts off. The wall is being tested. Trade flips to momentum read above 24,300.
Five. Below 23,857 the floor activates. Below 23,857 the next support is 23,814 and below that the 23,700 to 23,500 deep put stack. Stand down.
06Segment 5: Bank Nifty first print under the new rule
Bank Nifty monthly settles under the new NSE rule for the first time. Last Tuesday of the month. There is no historical playbook.
Yesterday BN closed 55,293 and the writers parked 70 lakh fresh put contracts at 55,000 in one session. That makes 55,000 the new monthly magnet. They covered 55 lakh short calls at the same strike, telling you 55,000 is the floor, not the ceiling. Above, the 56,000 call cluster sits at 17 lakh contracts.
Range for the day is 54,500 to 56,000. If BN settles inside that band by 3:30 PM, the new rule has its first textbook print and the June monthly playbook starts there. If BN settles outside, the writers go back to the drawing board and June BN looks different again.
07Segment 6: hedge almost free at VIX 16.70 and the macro
India VIX closed yesterday at 16.70. The 23,500 monthly put at that volatility costs 5 to 10 rupees. Last week at VIX 14.84 it was 4 to 1 against my long. At VIX 17.82 Friday it was 3 to 1. At VIX 16.70 today the same put is cheap enough that the hedge is almost free. Buy and forget.
Brent crude 97.94 dollars. Up 0.71 percent overnight but still well below 100. Rupee opened 95.23. Two-week high. Forty-seven paise stronger than Monday close. RBI lands a 5 billion dollar buy-sell swap auction by 11 AM today. Watch the subscription ratio. Above 1.0 times keeps the strength. Below 1.0 times brings the weakness back and that becomes Wednesday's story.
US markets closed yesterday for Memorial Day. Dow Futures 50,882, up 302 points implying US open near an all-time high. Asia mixed. Nikkei down 0.38. KOSPI up 3.08. Hang Seng up 0.46. Nvidia reports after the US bell tonight. That is a Wednesday story.
08CTA close: eP46 grade and the bullish bias
Friday's call said buy on dips with hedge, magnet 23,800. The market said no dips offered, broke straight up, closed 24,031. Direction right, levels too low. Fifth session running of that pattern. The hedge math debt closes today at the cheaper VIX. The bullish bias paid. The entry was missed because the chain skipped the dip.
So the day has one magnet at 24,000. One ceiling at 24,200. One floor at 23,900. One auction at 11 AM. One Bank Nifty first-print under the new rule. And one foreign desk that just spent yesterday doing three structural reversal things in one session.
The bias is bullish. The trade is buy on dips with a 23,500 hedge. One magnet. One auction. One first print. Buy the dips. Watch 24,000 by close.