--- title: "The Close Was Made In The Auction, Sensex | The Tanmay Edge" description: "Both indices printed their low as their close yesterday, and neither did it on the tape. Episode 112 opens on Sensex expiry day with the mechanism that made" source_url: "https://www.rupeecase.com/podcast/episodes/2026-08-27" --- The Tanmay Edge, Season 2, EP112 # The close was made in the auction Sensex expiry day, max pain 77,600 is also the gamma flip, Writers flip from 8-to-1 puts to 5-to-1 calls, 78,000 Wall hits 39.6 lakh, Nifty PCR collapses 1.16 to 0.73, floor migrates to 24,000 Both indices printed their low as their close, made in the closing auction * **12:28**listen * **3/5**graded at settlement * **Thu 27 Aug 2026**aired, Season 2 Now playing The close was made in the auction EP112, 27 Aug, 12:28 1x 0:00Chapter marks are estimated from the notes12:28 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 ## 3/5 at settlement. **3/5**60% **The call.** Both indices printed their low as their close, made in the closing auction Sensex settled 77,472, down 183 points, after an afternoon tape of 77,600 to 77,700 Nifty was near 24,280 at 3 15 and printed 24,207 at the close Futures never followed, so the September basis reads a weak looking 245 Auction round five, and the same mechanism settles the Sensex expiry today Sensex board flipped from 8 to 1 puts to 5 to 1 calls in one session 2.69 crore calls written against 54 lakh puts 78,000 call reached 40 lakh, the biggest position on the board Calls covered below spot at 77,300, 77,200, 77,100 and 77,000 The 77,500 put was trimmed 3.4 lakh to 14 lakh, * **2**Hit * **1**Partial * **0**Mechanical * **2**Miss Graded the next trading day, 28 Aug 2026, against NSE settlement. The grader's noteGraded Fri 28 Aug against the Sensex monthly settlement 76,933. The pin never held. The 77,600 pivot was called as the level the day would compress around and instead the market went straight to the support, settling 667 points below max pain on an auction print the tape never traded. The 77,600 iron fly was the wrong structure for a day that trended away from the magnet. What did work was the discipline: spreads only kept the loss defined, and the do not judge the day after 3:15 warning was proven right within twenty four hours when 370 of the 540 points arrived after continuous trading ended. Three on five. [The whole season, graded](/podcast/#trail)[August 2026 archive](/podcast/2026-08/)[Methodology](/track-record) 02In this episode ## 7 chapters, the numbers pulled out. 1. **07**The plan: the 77,600 iron flyKeep a watch on the first 45 minutes. The pivot is 77,600 on the Sensex, where max pain and the gamma flip 2. **07**The plan: the 77,600 iron flyKeep a watch on the first 45 minutes. The pivot is 77,600 on the Sensex, where max pain and the gamma flip 3. **07**The plan: the 77,600 iron flyKeep a watch on the first 45 minutes. The pivot is 77,600 on the Sensex, where max pain and the gamma flip 4. **07**The plan: the 77,600 iron flyKeep a watch on the first 45 minutes. The pivot is 77,600 on the Sensex, where max pain and the gamma flip 5. **07**The plan: the 77,600 iron flyKeep a watch on the first 45 minutes. The pivot is 77,600 on the Sensex, where max pain and the gamma flip 6. **07**The plan: the 77,600 iron flyKeep a watch on the first 45 minutes. The pivot is 77,600 on the Sensex, where max pain and the gamma flip 7. **07**The plan: the 77,600 iron flyKeep a watch on the first 45 minutes. The pivot is 77,600 on the Sensex, where max pain and the gamma flip Cold open: the close was made in the auction **77,600**Sensex traded **77,700**Sensex traded **77,472**Afternoon and settled Yesterday the close was made in the auction. Both indices printed their low as their close, and neither did it on the tape, it happened in the cash closing session. The Sensex traded 77,600 to 77,700 throughout the afternoon and settled at 77,472. The Nifty Read the chapter Wednesday's Sensex: the low was the close **183 points**Sensex closed **0.24 percent**Sensex closed points lower **77,600**Afternoon tape sat between **77,700**Tape sat between The Sensex closed 183 points lower, 0.24 percent, at 77,472. The open was 77,892, the high was 77,986, and the low of 77,472 was made in the closing auction session. The afternoon tape sat between 77,600 and 77,700 and the settlement happened 180 points lower. Read the chapter The board flipped: 8 to 1 puts becomes 5 to 1 calls **16 lakh**Puts were written against **54 lakh**Crore calls written against **40 lakh**Call now stands **77,300**Below the spot A complete flip happened yesterday. On Tuesday 1.21 crore puts were written against 16 lakh calls, eight to one. Yesterday exactly the opposite: 2.69 crore calls written against 54 lakh puts, roughly five to one the other way. The 78,000 call now stands at 40 Read the chapter The expiry map: the magnet and the pivot are the same level **77,600**Max pain sits **127 points**Sits at which **76,800**Puts per call **9.5**Puts per call The PCR came down below one and is trading at 0.858. Max pain sits at 77,600, which is 127 points above the spot, and the gamma flip level came down to 77,600 as well. The magnet and the pivot are the same level today. Strike ratios read 100 puts per call at Read the chapter The Nifty: PCR collapses and the support migrates lower **4.3**Calls were written **5.9**Call OI **1.37**Against put OI **24,400**Biggest one Calls were written 4.3 times faster than puts, with call OI at 5.9 lakh crore against put OI of 1.37 lakh crore. The 24,500 call holds a one crore position, the biggest one, then 24,400 with almost 87 lakh. 24,350, 24,450, 24,600 and 24,700 all saw calls Read the chapter Who did what: the crowd long calls and short puts **40,000**Again, booking **51,000**Bought back **75,000**Back puts, booking **37,000**FIIs wrote The pros sold calls again, booking down to 40,000 calls, the third flip session in four. They bought back 51,000 puts, booking to 75,000, and are now holding the protection. The desk is steady in the range and is still long calls, long puts and long futures. Read the chapter The plan: the 77,600 iron fly **77,800**Compresses and drift towards **77,500**Negative gamma **77,200**Market could fall **77,300**Could fall Keep a watch on the first 45 minutes. The pivot is 77,600 on the Sensex, where max pain and the gamma flip level are the same number. Above 77,600 gamma is positive, the day compresses and a drift towards 77,800 can happen, and that is the base case, not the Read the chapter 03The notes ## Chapter by chapter. ### *01*Cold open: the close was made in the auction Yesterday the close was made in the auction. Both indices printed their low as their close, and neither did it on the tape, it happened in the cash closing session. The Sensex traded 77,600 to 77,700 throughout the afternoon and settled at 77,472. The Nifty was near 24,280 at 3:15 and printed 24,207 at the close. The futures never followed, and the synthetic future never followed either, which is why the September basis reads a weak looking 245. Today the same mechanism settles the Sensex expiry. This is auction round five. Meanwhile the writers flipped completely: the Sensex board went from writing puts 8 to 1, to writing calls 5 to 1. ### *02*Wednesday's Sensex: the low was the close The Sensex closed 183 points lower, 0.24 percent, at 77,472. The open was 77,892, the high was 77,986, and the low of 77,472 was made in the closing auction session. The afternoon tape sat between 77,600 and 77,700 and the settlement happened 180 points lower. That was the cash session doing the work, not the tape. Under the surface, cement, metals, chemicals, private banks and PSUs were up, while IT fell 1.47 percent along with infrastructure, CPSE, FMCG, consumer durables and auto. And in the reversal of Tuesday, Smallcap was up 100 points or 0.81 percent, Smallcap 50 up 0.62 percent and Microcap 250 up 0.6 percent, all green while the Nifty fell. So this was a large cap decline and the broader market did not participate. ### *03*The board flipped: 8 to 1 puts becomes 5 to 1 calls A complete flip happened yesterday. On Tuesday 1.21 crore puts were written against 16 lakh calls, eight to one. Yesterday exactly the opposite: 2.69 crore calls written against 54 lakh puts, roughly five to one the other way. The 78,000 call now stands at 40 lakh, the resistance and the biggest position on the board, with 77,900 around 21 lakh, and 77,800 also written. Calls were covered below the spot at 77,300, 77,200, 77,100 and 77,000. Puts were written at 77,000 with 20 lakh, the biggest put position, 77,400 with 13 lakh and 76,800 with 8.6 lakh, while the 77,500 put was trimmed by 3.4 lakh to almost 14 lakh outstanding. That trim, right under spot, is the trap. ### *04*The expiry map: the magnet and the pivot are the same level The PCR came down below one and is trading at 0.858. Max pain sits at 77,600, which is 127 points above the spot, and the gamma flip level came down to 77,600 as well. The magnet and the pivot are the same level today. Strike ratios read 100 puts per call at 76,800, 9.5 at 77,000, 1.2 at 77,500 and 0.2 at 78,000, so the expiry is expected between 77,500 and 78,000. The 27th August expiry IV is up 6 percent and trading around 11 percent. Expiry day one SD is around 408 points, from 77,100 to 77,900. The at the money 77,500 straddle is trading at 379, the live series printed 410, down 15 percent on the day. The straddle implied move is around 475 points, giving 77,000 to 77,950. So the battlefield is 77,100 to 77,900 with 77,600 as the pivot. The basis is trading wrong and is showing almost 781 points on the Sensex. ### *05*The Nifty: PCR collapses and the support migrates lower Calls were written 4.3 times faster than puts, with call OI at 5.9 lakh crore against put OI of 1.37 lakh crore. The 24,500 call holds a one crore position, the biggest one, then 24,400 with almost 87 lakh. 24,350, 24,450, 24,600 and 24,700 all saw calls written. The first line of support is 24,200, where almost 11 lakh got shed, with 24,250 shedding 5 lakh and 24,150 shedding around 1 lakh. That migration is the message: the writers are moving their support down to 24,000 directly. The PCR collapsed from 1.1 to 0.73 in one session. Max pain still holds at 24,300, still above the spot, and the gamma flip level is still above at 24,350 with the spot below it, so amplified moves stay switched on. The daily one SD is 24,100 to 24,314 and Tuesday's expiry is predicted between 24,000 and 24,450. ### *06*Who did what: the crowd long calls and short puts The pros sold calls again, booking down to 40,000 calls, the third flip session in four. They bought back 51,000 puts, booking to 75,000, and are now holding the protection. The desk is steady in the range and is still long calls, long puts and long futures. The FIIs wrote 37,000 more calls, so the short book stands at 2.36 lakh calls, futures short is steady at 1.86 lakh, and in cash they bought again for the third day, 503 crore. The clients bought more calls to take the book to 1.91 lakh, added 60,000 naked puts, and that book is back above 6.5 lakh and trading at 6.63 lakh. Long calls and short puts, maximum bullish exposure on the day the market broke. The pros and the foreigners took the other side of both legs. On flows, DII cash was 6,425 crore against 230 crore on Tuesday, and FII cash was 503 crore, the third day of buying. ### *07*The plan: the 77,600 iron fly Keep a watch on the first 45 minutes. The pivot is 77,600 on the Sensex, where max pain and the gamma flip level are the same number. Above 77,600 gamma is positive, the day compresses and a drift towards 77,800 can happen, and that is the base case, not the best case. 78,000 is the resistance with 40 lakh calls written there, and nothing should cross it today. Below 77,600 the board amplifies the moves because we enter negative gamma, with the 77,500 puts trimmed, and the market could fall to 77,200 to 77,300. The expiry range is broad at 77,065 to 77,881. Do not judge the day after 3:15, because yesterday the print moved the market 180 points in the last few minutes. Spreads only, no naked buying or selling. Ideally the 77,600 iron fly, with a 300 point range covering 77,300 to 77,900. On the Nifty, 24,350 is the level, support at 24,200 is thinning and resistance is built at 24,300, 24,400 and 24,500. Do not trade the cash session. 04Key takeaways ## 24 things to carry into the session. * *01*Both indices printed their low as their close, made in the closing auction * *02*Sensex settled 77,472, down 183 points, after an afternoon tape of 77,600 to 77,700 * *03*Nifty was near 24,280 at 3:15 and printed 24,207 at the close * *04*Futures never followed, so the September basis reads a weak looking 245 * *05*Auction round five, and the same mechanism settles the Sensex expiry today * *06*Sensex board flipped from 8 to 1 puts to 5 to 1 calls in one session * *07*2.69 crore calls written against 54 lakh puts * *08*78,000 call reached 40 lakh, the biggest position on the board * *09*Calls covered below spot at 77,300, 77,200, 77,100 and 77,000 * *10*The 77,500 put was trimmed 3.4 lakh to 14 lakh, thinning the level under spot * *11*Sensex PCR fell below one to 0.858 * *12*Max pain 77,600 sits 127 points above spot and is also the gamma flip * *13*Expiry day one SD around 408 points, 77,100 to 77,900 * *14*At the money 77,500 straddle trading 379, live series 410, down 15 percent * *15*Nifty calls written 4.3 times faster than puts * *16*24,500 call holds a one crore position, the biggest on the board * *17*24,200 support shed almost 11 lakh puts while 24,000 built * *18*Nifty PCR collapsed from 1.1 to 0.73 in one session * *19*Pros sold calls again, a third flip in four sessions, and bought back 51,000 puts * *20*FIIs wrote 37,000 more calls and bought 503 crore cash, a third straight buy * *21*Clients hold 1.91 lakh calls and 6.63 lakh naked puts * *22*DII cash jumped to 6,425 crore from 230 crore on Tuesday * *23*India VIX fell to 10.43, the lowest of this cycle * *24*Plan on record: pivot 77,600, the 77,600 iron fly, range 77,300 to 77,900, spreads only Show all 24 05In his words Yesterday the close was made in the auction. The futures never followed, and the synthetic future also never followed. The Sensex board went from writing the puts 8 to 1, to writing calls 5 to 1. 06Transcript ## The full episode, in text. Read the transcript Reading mode Copy link 1,267 words, about 6 min to read A very good morning, guys. Yesterday the close was made in the auction. Both indices printed their low as their close, and neither did it on the tape, it happened in the cash closing session. The Sensex traded 77,600 to 77,700 throughout the afternoon and settled at 77,472. The Nifty was near 24,280 at 3:15 and printed 24,207 at the closing. The futures never followed, and the synthetic future also never followed, which is why the September basis reads a weak looking 245 basis. And today the same mechanism settles the Sensex expiry. This is auction round five. Meanwhile the writers flipped completely. The Sensex board went from writing the puts 8 to 1, to writing calls 5 to 1. This is The Tanmay Edge. You are listening to episode 112. I am Tanmay Kurtkoti. Let's go. So the Sensex tape first. 24 percent, at 77,472. The open was 77,892, a high of 77,986, and then the low made of 77,472 in the closing auction session. The afternoon tape sat 77,600 to 700 and the settlement happened 180 points lower. That was the cash session. The Sensex board, a complete flip happened yesterday. 21 crore puts written against 16 lakh calls, 8 to 1. 69 crore calls written against 54 lakh puts, roughly 5 to 1, the other way round. The 78,000 call now stands at 40 lakh, the resistance and the biggest position on the board. 77,900 around 21 lakh, 77,800 call, 78,000, everything written. Calls covered below the spot, at 77,300, 77,200, 77,100 and 77,000. 4 lakh to almost 14 lakh outstanding. 858. Max pain sits at 77,600, sitting 127 points above the spot. The gamma flip level came down as well to 77,600. The magnet and the pivot are the same level today. 2. So the expiry expected is between 77,500 to 78,000. The one standard deviation map. The 27th August expiry IV is up by 6 percent and is trading around 11 percent. Expiry day one SD is around 408 points, 77,100 on the bottom end to 77,900 on the upper end. The at the money straddle of 77,500 is trading at 379. The live series printed 410, down 15 percent on the day. So the straddle implied move is around 475 points and is giving around 77,000 on the bottom end to 77,950 on the upper end. So the one SD lands exactly under that 78,000 resistance and lands above that 77,000 support that is present. So the battlefield for today is 77,100 to 77,900, with 77,600 as the pivot. The basis is trading wrong and is showing almost 781 points on Sensex. So for yesterday's expiry, the projection tracked the tape, the close was made in the uncross. Same for the Sensex model, 160 points off, so the model missed too. The projected price was higher and it was a straight miss, so I will take a three on five on that. com. So the Nifty. 37 lakh crore. The 24,500 call has a one crore position, the biggest one, and then we have 24,400 with almost 90 lakh, 87 lakh present over there. 24,350, 24,450, 24,600, 24,700, all calls were written. The first line of support is 24,200, where almost 11 lakh got shed, 24,250 5 lakh got shed, and 24,150 around 1 lakh got shed. That migration is the message, the writers are moving their floor to 24,000 directly. 73 in one session. Max pain still holds at 24,300, still above that spot, and the gamma flip level is still above that 24,350 and the spot is below it. Amplified moves stay switched on. So the daily one standard deviation move for the Nifty is 24,100 on the bottom end to 24,314 on the upper end. Tuesday's expiry is predicted between 24,000 to 24,450. The at the money straddle is 220 and the at the money IV is roughly around 9. So Wednesday's tape was under the surface. What was up? Cement was up, metals was up, chemicals was up, private banks and PSUs were also up. 47 percent, infrastructure, CPSE and FMCG were down, consumer durables as well as auto were down. 6 percent, all green while the Nifty fell. So this is a large cap rally and the broader market did not participate in it. So who did what? The pros, or the proprietary traders, sold calls again, booked down to 40,000 calls, the third flip session in four sessions. Bought back 51,000 puts, booked to 75,000, now holding the protection. The desk is steady in the range and is still long calls, long puts, along with futures they are long. 36 lakh calls they have shorted. 86 lakh. And in cash they bought again for the third day, 503 crore. 63 lakh of naked puts. Long calls and short puts, maximum bullish exposure on the day the market broke. The pros and the foreigners took the other side of both these legs, and they are standing against the clients. The flows. DII cash 6,425 crore. From 230 crore on Tuesday, yesterday they bought 6,400 crore, remember this. FII cash was 503 crore, the third day of buy. So the locals bought the dip in size, the foreigners bought cash and sold every derivative possible. Someone is being paid to stay cautious. So the predicted values, the rolling futures, Sensex is still buy, Nifty is still buy. Thursday morning. 8 percent higher, Korea has ripped back after the two percent falls we have seen. 5 percent. 27 bips. 32. Gold is 4,641, up another 1 percent. 12. 41. 66. GIFT is on the August contract and is trading at 24,364, about 88 points below where that future settled. Against an auction close that depressed the cash close, it looks like a big gap. The honest read is, it is opening near 24,240 to 24,210, versus 24,260 the tape saw at 3:15. 2 percent in one session. So the next rebalance stands on Monday. And the plan for today, guys, is very important. Keep a watch for the first 45 minutes. The pivot is 77,600 on Sensex, max pain and the gamma flip level both lie at the same number. Above 77,600 gamma is positive, the day compresses and the drift towards 77,800 can happen. That is the base case, not the best case. 78,000 is the resistance with 40 lakh calls written over there, nothing should cross it today. Below 77,600 the board amplifies the moves, because we enter into a negative gamma territory, with 77,500 puts getting trimmed, and the market could fall to 77,200 to 77,300 as well. So the expiry range for today is quite broad and stands at 77,065 to 77,881. Remember this and write it down. Do not judge the day after 3:15. Yesterday the print moved the market 180 points in the last few minutes. So again, spreads only, no naked buying or selling. Ideally the 77,600 iron fly is the trade you should go for, with a 300 point range covering 77,300 to 77,900 levels. So Nifty, 24,350 is the level you should watch for. Support is 24,200 and is thinning out, and resistance is built at 24,300, 400 and 500 levels. So stay safe and do not trade in the cash session. If you liked this episode, guys, share it with one trader friend who needs it right now. Subscribe to Apple Podcasts, Spotify and Amazon Music. com where it streams first, and give it a rating, guys, if you want to add something. Have a happy expiry, guys, and a happy Thursday. See you all once again tomorrow. Questions ## EP112, in plain words. What does EP112 of The Tanmay Edge cover?EP112, Thursday 27 Aug 2026, 12:28, in 7 chapters: Cold open: the close was made in the auction; Wednesday's Sensex: the low was the close; The board flipped: 8 to 1 puts becomes 5 to 1 calls; The expiry map: the magnet and the pivot are the same level; The Nifty: PCR collapses and the support migrates lower; Who did what: the crowd long calls and short puts; The plan: the 77,600 iron fly. How did the calls in EP112 score?Grade 3/5 (60 percent): 2 hit, 1 partial, 0 mechanical, 2 miss. Graded the next trading day, 28 Aug 2026, against NSE settlement. 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. Explore next ## Learn what the episode covers. * [Free module 7.4INR, FII Flows, and Global Market Linkages10 min read](/learn/path-7/module-7-4-inr-fii-flows-global-linkages) * [StrategyNifty 50 Equal Weight strategyNifty 50, 50 stocks, every 4 weeks](/strategies/nifty-50-equal-weight) * [Free module 1.3Indices & Benchmarks13 min read](/learn/path-1/module-1-3-indices-and-benchmarks) * [Free module 7.6Corporate Earnings Cycle in India10 min read](/learn/path-7/module-7-6-corporate-earnings-cycle-india) Community ## Join my WhatsApp group. 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