--- title: "The First Sensex Auction Expiry. Why The | The Tanmay Edge" description: "Here is a correction to the textbook, and it is the whole story of today. Yesterday the RBI held, repo unchanged at 5.25 percent, a neutral stance." source_url: "https://www.rupeecase.com/podcast/episodes/2026-08-06" --- The Tanmay Edge, Season 2, EP97 # The first Sensex auction expiry. Why the vol is rising, not crushing RBI held 5.25 percent neutral exactly as consensus expected * **9:26**listen * **4/5**graded at settlement * **Thu 6 Aug 2026**aired, Season 2 Now playing The first Sensex auction expiry. Why the vol is rising, not crushing EP97, 6 Aug, 9:26 1x 0:00Chapter marks are estimated from the notes9:26 The host did not serve the audio here. Listen on [Apple Podcasts](https://podcasts.apple.com/us/podcast/the-tanmay-edge-indias-pre-market-edge-5-minutes/id1824088016) or [Spotify](https://open.spotify.com/show/0F755kaD5hggGDjy26Sz33). 01Scorecard ## 4/5 at settlement. **4/5**80% **The call.** First Sensex Weekly Expiry Under The Auction Vol RISES Not Crushes Into An Untested Settlement Straddle Stays Fat Sensex Max Pain 78,500 Day Priced 77,600 To 79,200 FII Short Calls 63,594 Into 24,600 24,700 Pros Bought 1,47,214 Calls DII +2,900 Cr Rules Do Not Sell Options Into This Close Buy The Straddle If Anything Stand Aside From 3:14 Nifty Buy Dips 24,500 Stop 24,400 Break 24,700 Opens 25,200 * **4**Hit * **0**Partial * **0**Mechanical * **1**Miss Graded against the 7 Aug 2026 session; on the public trail from 10 Aug 2026. The grader's noteGraded Thu 6 Aug EOD. The first Sensex auction expiry settled clean, basis minus 1.16, but the INDICATIVE price spiked hard inside the uncrossing window before settling, so the vol bid thesis paid inside the auction rather than in the settlement. The do not sell into the close and stand aside rules were exactly right. Roughly a four. [The whole season, graded](/podcast/#trail)[August 2026 archive](/podcast/2026-08/)[Methodology](/track-record) 02In this episode ## 6 chapters, the numbers pulled out. 1. **06**The plan: three rules, then the levelsRule one, do not sell options into this close, and not just today, until the auction earns trust, which could 2. **06**The plan: three rules, then the levelsRule one, do not sell options into this close, and not just today, until the auction earns trust, which could 3. **06**The plan: three rules, then the levelsRule one, do not sell options into this close, and not just today, until the auction earns trust, which could 4. **06**The plan: three rules, then the levelsRule one, do not sell options into this close, and not just today, until the auction earns trust, which could 5. **06**The plan: three rules, then the levelsRule one, do not sell options into this close, and not just today, until the auction earns trust, which could 6. **06**The plan: three rules, then the levelsRule one, do not sell options into this close, and not just today, until the auction earns trust, which could Cold open: forget the textbook today **5.25 percent**Everyone expected, held Yesterday the governor did exactly what everyone expected, held at 5.25 percent, neutral stance. And here is where the textbook gets corrected, because after a boring hold volatility is supposed to collapse. Look at the screen. It did not. The volatility on Read the chapter The tape: fade the event, buy the dip **24,624**Nifty closed **24,497**Ten o'clock decision **24,600**Close right **50 points**Auction still settled Nifty closed 24,624, basically flat, but the path told the story. It gapped up to 24,700 at the open, sold off through the ten o'clock decision to a 24,497 low by midday, then bought all of it back in the last two hours to close right on the 24,600 line. Read the chapter The hero block: settlement itself is the risk **190 points**Printing the index nearly Every Thursday the Sensex weeklies settle on the closing price. Until now that close was a thirty minute average, smooth, hard to move. From this week it is a single auction price discovered in one short window at the bell, and on the Nifty that window Read the chapter Positioning and overnight: coiled under a foreign Wall **63,594**Ceiling, adding **24,600**Short calls stacked **24,700**Calls stacked **1,47,214**Pros bought On the Nifty the foreign funds turned aggressive on the ceiling, adding 63,594 short calls stacked into 24,600 and 24,700, betting the top is 24,700. But the pros bought 1,47,214 calls, the domestics bought nearly 2900 crore of stock and absorbed the foreign Read the chapter The edu: why vol rises into an untested expiry Normally volatility falls into an expiry. The decay of time and the pinning to max pain crush the premium on the last day, and the smart trade is usually to sell it. But that only holds when the settlement is predictable. The moment the way the market closes becomes uncertain, the settlement stops being a formality and becomes a fresh source of risk, and vol rises instead. Two glitchy auctions taught everyone the Read the chapter The plan: three rules, then the levels **78,600**Sensex sits **78,500**Max pain **77,600**Day wide, roughly **79,200**Day wide, roughly Rule one, do not sell options into this close, and not just today, until the auction earns trust, which could take weeks. Selling a straddle into a first ever Sensex auction expiry is picking up pennies in front of an unknown machine. Rule two, if you want a Read the chapter 03The notes ## Chapter by chapter. ### *01*Cold open: forget the textbook today Yesterday the governor did exactly what everyone expected, held at 5.25 percent, neutral stance. And here is where the textbook gets corrected, because after a boring hold volatility is supposed to collapse. Look at the screen. It did not. The volatility on the Sensex is rising, the expiry straddle staying fat, the vol gauge popping. The reason is the whole story of today. This is the first ever Sensex weekly expiry that settles under the new single auction close, the same auction that misfired twice on the Nifty this week. Nobody knows how it will behave, and when the market does not know how it is going to close, it does not sell insurance, it buys it. ### *02*The tape: fade the event, buy the dip Nifty closed 24,624, basically flat, but the path told the story. It gapped up to 24,700 at the open, sold off through the ten o'clock decision to a 24,497 low by midday, then bought all of it back in the last two hours to close right on the 24,600 line. Sensex 78,581, up 152, same pattern. One tell worth noting, even on the calmest day the Nifty auction still settled about 50 points above where it was trading. That was the Nifty on an ordinary day. Today is the Sensex, on its first expiry under the new rule. Different animal. ### *03*The hero block: settlement itself is the risk Every Thursday the Sensex weeklies settle on the closing price. Until now that close was a thirty minute average, smooth, hard to move. From this week it is a single auction price discovered in one short window at the bell, and on the Nifty that window misfired twice, printing the index nearly 190 points away from where it traded. Think about a Sensex options seller today. Sell the 78,500 straddle expecting a quiet pin, and if the auction prints a couple of hundred points away from where the market traded all day, the short is settled against a number that never really existed. The desks know this. That is why they are bidding the vol up instead of selling it, the straddle staying rich because the settlement itself has become the risk. ### *04*Positioning and overnight: coiled under a foreign Wall On the Nifty the foreign funds turned aggressive on the ceiling, adding 63,594 short calls stacked into 24,600 and 24,700, betting the top is 24,700. But the pros bought 1,47,214 calls, the domestics bought nearly 2900 crore of stock and absorbed the foreign selling whole, and the crowd stayed long. A coil, a foreign wall against a bullish everyone else. Overnight the lead is soft and we open up anyway. The Nasdaq slipped nearly a percent, Asia is red across the board, Japan down over 1 and Korea down almost 4, and still GIFT sits at 24,704, opening the Nifty right at the 24,700 wall. Gold pushing to near a record 4279, the safe haven bid alive, the same nervous undercurrent keeping the expiry vol bid. ### *05*The edu: why vol rises into an untested expiry Normally volatility falls into an expiry. The decay of time and the pinning to max pain crush the premium on the last day, and the smart trade is usually to sell it. But that only holds when the settlement is predictable. The moment the way the market closes becomes uncertain, the settlement stops being a formality and becomes a fresh source of risk, and vol rises instead. Two glitchy auctions taught everyone the closing print can jump, and now the same untested mechanism runs on a Sensex expiry for the first time. The option is not just pricing where the index goes, it is pricing whether the bell prints the truth. When you cannot trust the close, you do not sell the close. You buy protection against it. ### *06*The plan: three rules, then the levels Rule one, do not sell options into this close, and not just today, until the auction earns trust, which could take weeks. Selling a straddle into a first ever Sensex auction expiry is picking up pennies in front of an unknown machine. Rule two, if you want a position, the safer side is to buy, owning the straddle or a cheap wing means an auction shock pays you. Rule three, the simplest, do not trade the last fifteen minutes at all. Stand aside from about 3:14 and let the auction get absorbed. On levels, the Sensex sits near 78,600 with max pain 78,500, a flat pin is what should happen, but the options price the day wide, roughly 77,600 to 79,200, about 850 points a side. On the Nifty, constructive, buy dips toward 24,500 with 24,400 the stop, and a clean break of 24,700 opens 25,200, but trade it in the morning, not at the bell. 04Key takeaways ## 17 things to carry into the session. * *01*RBI held 5.25 percent neutral exactly as consensus expected * *02*The textbook IV crush did not come vol is rising into the untested expiry * *03*First ever Sensex weekly expiry under the single auction close * *04*The Nifty auction misfired twice this week printing nearly 190 points away * *05*Nifty closed 24,624 flat after 24,700 open 24,497 midday low dip bought * *06*Sensex 78,581 up 152 the same fade and recover pattern * *07*Even the calm day auction settled the Nifty about 50 points high * *08*FII added 63,594 short calls stacked into 24,600 and 24,700 betting the top * *09*Pros bought 1,47,214 calls the other side of the foreign wall * *10*DII bought nearly 2900 crore absorbing the foreign cash selling whole * *11*Asia red Japan down 1 Korea down almost 4 and GIFT still 24,704 * *12*Gold near a record 4279 the safe haven bid alive under the calm * *13*Sensex max pain 78,500 day priced wide roughly 77,600 to 79,200 * *14*Rule one do not sell options into this close until the auction earns trust * *15*Rule two the safer side is buying the straddle an auction shock pays you * *16*Rule three stand aside from 3:14 let the auction get absorbed * *17*Nifty buy dips toward 24,500 stop 24,400 break of 24,700 opens 25,200 Show all 17 05In his words When the market does not know how it is going to close, it does not sell insurance, it buys it. It faded the event and bought the dip. Your short is settled against a number that never really existed, and you are run over at the bell, by a print, not by the market. Questions ## EP97, in plain words. What does EP97 of The Tanmay Edge cover?EP97, Thursday 6 Aug 2026, 9:26, in 6 chapters: Cold open: forget the textbook today; The tape: fade the event, buy the dip; The hero block: settlement itself is the risk; Positioning and overnight: coiled under a foreign Wall; The edu: why vol rises into an untested expiry; The plan: three rules, then the levels. How did the calls in EP97 score?Grade 4/5 (80 percent): 4 hit, 0 partial, 0 mechanical, 1 miss. Graded against the 7 Aug 2026 session. Is The Tanmay Edge investment advice?No. It is market commentary for education only, not a recommendation to buy or sell any security. RupeeCase is not a SEBI registered investment adviser, and strategy figures on RupeeCase are model, back tested. 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