--- title: "MSCI Rebalance: Reliance 87% Delivery | The Tanmay Edge" description: "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%." source_url: "https://www.rupeecase.com/podcast/episodes/2026-09-01" --- The Tanmay Edge, Season 2, EP115 # 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 Turnover ran 2.4 times Friday's, 49,000 crore against 21,000 * **10:39**listen * **3/5**graded at settlement * **Tue 1 Sep 2026**aired, Season 2 Now playing MSCI rebalance: Reliance 87% delivery, Adani energy -10.4%, zero auction dislocation in the large caps EP115, 1 Sep, 10:39 1x 0:00Chapter marks are estimated from the notes10:39 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.** Turnover ran 2.4 times Friday s, 49,000 crore against 21,000 Median delivery hit 53.6 percent against a normal of the low 40s Reliance 87 percent delivery, Eternal 87, Adani Energy Solutions 83, Bharti 82 Adani Energy down 10.4, Adani Enterprises down 9.8, Bharti down 3.8, ITC down 3.7 Zero dislocation in every MSCI name on the biggest flow day of the year 1,678 liquid names tested, median difference 0.00 percent 111 names closed more than 1 percent from their last traded price 17 names more than 2 percent apart, and all of them microcaps The auction passed its hardest test but the derivatives market did not Both sides added 2.2 crore calls and more * **2**Hit * **1**Partial * **0**Mechanical * **2**Miss Graded the next trading day, 2 Sep 2026, against NSE settlement. The grader's noteGraded Wed 02 Sep against the Tue close 24,055. The levels worked superbly: the called band held, 24,000 was tested and held on a close for a third session, and max pain at 24,100 framed the day. The volatility call did not. Both the panel and the screener had flipped to buy volatility for the first time in the run and the day compressed instead, so the long gamma structure was the wrong side of a session that dampened. Levels right, IV wrong. Three out of five. [The whole season, graded](/podcast/#trail)[September 2026 archive](/podcast/2026-09/)[Methodology](/track-record) 02In this episode ## 7 chapters, the numbers pulled out. 1. **07**The plan: long gamma on both sidesThe gap down opens near 24,030 to 24,060. 24,000 is the support with 170.5 lakh puts, the biggest position on 2. **07**The plan: long gamma on both sidesThe gap down opens near 24,030 to 24,060. 24,000 is the support with 170.5 lakh puts, the biggest position on 3. **07**The plan: long gamma on both sidesThe gap down opens near 24,030 to 24,060. 24,000 is the support with 170.5 lakh puts, the biggest position on 4. **07**The plan: long gamma on both sidesThe gap down opens near 24,030 to 24,060. 24,000 is the support with 170.5 lakh puts, the biggest position on 5. **07**The plan: long gamma on both sidesThe gap down opens near 24,030 to 24,060. 24,000 is the support with 170.5 lakh puts, the biggest position on 6. **07**The plan: long gamma on both sidesThe gap down opens near 24,030 to 24,060. 24,000 is the support with 170.5 lakh puts, the biggest position on 7. **07**The plan: long gamma on both sidesThe gap down opens near 24,030 to 24,060. 24,000 is the support with 170.5 lakh puts, the biggest position on Cold open: the most telegraphed flow day on the calendar **2.4**Turnover ran **49,000**Times Friday's **21,000**Times Friday's, crore against **87 percent**Reliance printed Yesterday was the MSCI rebalance, the single most telegraphed flow day on the calendar. Everybody knew it was coming, everybody knew roughly what size, and everybody knew exactly when it would land. The turnover ran 2.4 times Friday's, 49,000 crore against Read the chapter The fingerprint is the delivery column **10.4**Adani Energy **9.8**Adani Enterprises **4.1**Adani Ports The price moved hard for it too. Adani Energy down 10.4, Adani Enterprises down 9.8, Adani Ports down 4.1, Bharti down 3.8, ITC down 3.7. Now here is the part I did not expect, and it changes what I was going to tell you this morning. In every single one of Read the chapter The same test, 1,678 names **1,678**Official closing price **0.00 percent**Median difference **1 percent**Stocks closed more **2 percent**Them more I ran the same test I ran last week, every liquid stock's last traded price against its official closing price, 1,678 names. The median difference was 0.00 percent. In the MSCI names it was zero. But 111 stocks closed more than 1 percent away from their last Read the chapter The board into expiry: both sides added **3.5**Yesterday's call will take **24,200**Never got back **282 lakh**Board both sides added **183 lakh**Added, lakh calls On yesterday's call I will take a 3.5 out of 5. The 24,000 support was the right level and it held on a closing basis, but it broke intraday and the day never got back to 24,200. On the board both sides added, 282 lakh calls and 183 lakh puts. That is 2.2 Read the chapter The number that matters: the model flips to buy volatility **0.966**PCR now stands **24,100**Max pain sits **20 points**Max pain sits **24,150**Also over there The PCR now stands at 0.966, up from 0.776. Max pain sits at 24,100, 20 points above the spot on expiry day, and the gamma flip level is also over there, 24,150 to 24,200. Now the number that matters most today. Implied volatility on the expiry series exploded Read the chapter Who did what: a desk with no view and a crowd reducing risk **1,09,000**Pros sold **6,700**Foreigners added another **39,000**Calls and covered another **7.61**Taking that book The pros sold 1,09,000 calls, the third flip of that book in about a week, and at this point you have to read that desk as having no view at all, only a range in which they are trading. The foreigners added another 6,700 futures short and the book only grew. Read the chapter The plan: long gamma on both sides **24,030**Gap down opens **23,993**Yesterday with low **23,930**Break that and see **24,100**Max pain stands The gap down opens near 24,030 to 24,060. 24,000 is the support with 170.5 lakh puts, the biggest position on the board, already tested once yesterday with a low of 23,993. Today, in the first step, I think we should break that and see 23,930 to 23,950 tested. Read the chapter 03The notes ## Chapter by chapter. ### *01*Cold open: the most telegraphed flow day on the calendar Yesterday was the MSCI rebalance, the single most telegraphed flow day on the calendar. Everybody knew it was coming, everybody knew roughly what size, and everybody knew exactly when it would land. The turnover ran 2.4 times Friday's, 49,000 crore against 21,000. And the fingerprint is not the price, it is the delivery column. Reliance printed 87 percent delivery, Eternal 87 percent, Adani Energy Solutions 83 percent, Bharti 82 percent. Market wide the median delivery was 53.6 percent against a normal of the low 40s. Passive funds cannot trade intraday, they have to take delivery, and this is precisely what the file shows. ### *02*The fingerprint is the delivery column The price moved hard for it too. Adani Energy down 10.4, Adani Enterprises down 9.8, Adani Ports down 4.1, Bharti down 3.8, ITC down 3.7. Now here is the part I did not expect, and it changes what I was going to tell you this morning. In every single one of these names, the closing auction price printed at the last traded price. Zero dislocation. Zero on Reliance, zero on Eternal, zero on Adani, zero on Laurus Labs, zero on HDFC Bank, on the biggest flow day of the year. In the biggest, most crowded names, the auction was flawless. But the market drifted a lot, and it broke in exactly the same corner it broke last Thursday. ### *03*The same test, 1,678 names I ran the same test I ran last week, every liquid stock's last traded price against its official closing price, 1,678 names. The median difference was 0.00 percent. In the MSCI names it was zero. But 111 stocks closed more than 1 percent away from their last traded price, and 17 of them more than 2 percent. Tarapur minus 3.94. And every single one of them was a microcap, the thin book that we saw. So think about it. Yesterday the closing auction took the hardest test it is ever going to be given, a scheduled event, enormous flows arriving all at once, in the most heavily traded stocks in the country. And it passed. But did it fail at what it should do for derivatives? The mechanism is not the problem. It is liquidity, and the way that affects the derivative market, that is the issue. ### *04*The board into expiry: both sides added On yesterday's call I will take a 3.5 out of 5. The 24,000 support was the right level and it held on a closing basis, but it broke intraday and the day never got back to 24,200. On the board both sides added, 282 lakh calls and 183 lakh puts. That is 2.2 crore calls and more than 1.8 crore puts. 68 lakh puts were added onto 24,000, taking it to 170.5 lakh, which is now the biggest single position on the entire board. 50 lakh onto 24,050. So 24,000 and 24,050 become the biggest support. And at 24,100 the two sides are dead even, 101 lakh calls against 104 lakh puts, almost 2 crore of open interest at one strike. Above that, calls are stacked at 24,200, 24,300 and 24,400, and puts came off the same levels, with nearly 20 lakh removed from 24,200, 24,300 and 24,150. ### *05*The number that matters: the model flips to buy volatility The PCR now stands at 0.966, up from 0.776. Max pain sits at 24,100, 20 points above the spot on expiry day, and the gamma flip level is also over there, 24,150 to 24,200. Now the number that matters most today. Implied volatility on the expiry series exploded to 12.75, and the panel reads 11.45. And for the first time in the entire run, the model has flipped from sell volatility to buy volatility. The screener sees it louder. India VIX scored 672 and it is the highest conviction long by an enormous distance. With the VIX itself trading higher, the two independent signals are saying the same message. Own the movement today, do not sell it. One standard deviation for the expiry is 160 points, giving 23,920 to 24,241, and the at the money straddle is roughly 150. ### *06*Who did what: a desk with no view and a crowd reducing risk The pros sold 1,09,000 calls, the third flip of that book in about a week, and at this point you have to read that desk as having no view at all, only a range in which they are trading. The foreigners added another 6,700 futures short and the book only grew. The crowd bought a lakh more calls and covered another 39,000 naked puts, taking that book from 7.61 lakh to 7.25 to 6.86 lakh in two sessions. 75,000 contracts of the most dangerous position in the market has been taken out, but 6.86 lakh is still big. And this is where it turned: the foreigners sold 7,986 crore in the cash market, bigger than Friday's 5,040 and the largest single day sale of the month, while the locals bought 4,589 crore. On Friday they absorbed it rupee for rupee and the index closed green; yesterday they did not, and the index fell. So the tag is partial absorption, and the cumulative foreign number for the month has now flipped negative. The model called it well, selling from 24,215 with a projected value of 24,074 against a close of 24,080, just under six points, and the trade is up 162 points. ### *07*The plan: long gamma on both sides The gap down opens near 24,030 to 24,060. 24,000 is the support with 170.5 lakh puts, the biggest position on the board, already tested once yesterday with a low of 23,993. Today, in the first step, I think we should break that and see 23,930 to 23,950 tested. Max pain stands at 24,100 and we should bounce back towards that level, or around 24,000, before entering the cash session. The gamma flip is at 24,150 to 24,200, so only if the market rallies above 24,150 could we see rally continuation. Until then it will be a volatile session compressing around 24,100. The expiry range stands at 23,930 to 24,240. Trade only in the range, and you can go long gamma on both sides. Both the panel and the screener have flipped to buying, so it is a long volatility structure, and do not sell premium naked into it. Risk case, 24,000 breaks heavily and 23,950 also breaks, and the crowd still has 6.86 lakh naked puts where the support is 23,900, so the market can drift towards 23,800. Spreads only, be flat by 3:15, after which the casino opens. 04Key takeaways ## 24 things to carry into the session. * *01*Turnover ran 2.4 times Friday's, 49,000 crore against 21,000 * *02*Median delivery hit 53.6 percent against a normal of the low 40s * *03*Reliance 87 percent delivery, Eternal 87, Adani Energy Solutions 83, Bharti 82 * *04*Adani Energy down 10.4, Adani Enterprises down 9.8, Bharti down 3.8, ITC down 3.7 * *05*Zero dislocation in every MSCI name on the biggest flow day of the year * *06*1,678 liquid names tested, median difference 0.00 percent * *07*111 names closed more than 1 percent from their last traded price * *08*17 names more than 2 percent apart, and all of them microcaps * *09*The auction passed its hardest test but the derivatives market did not * *10*Both sides added: 2.2 crore calls and more than 1.8 crore puts * *11*68 lakh puts onto 24,000, taking it to 170.5 lakh, the biggest position * *12*24,100 dead even at 101 lakh calls against 104 lakh puts * *13*PCR rose to 0.966 from 0.776 * *14*Max pain 24,100, 20 points above spot on expiry day * *15*Expiry series IV exploded to 12.75, panel reads 11.45 * *16*The model flipped from sell volatility to buy volatility for the first time * *17*India VIX scored 672, the screener's highest conviction long * *18*One SD 160 points, giving 23,920 to 24,241 * *19*Pros sold 1,09,000 calls, a third flip of that book in a week * *20*Crowd covered 39,000 naked puts, book down 7.61 to 7.25 to 6.86 lakh * *21*FIIs sold 7,986 crore cash, the largest single day sale of the month * *22*DII absorption only partial, and the index fell * *23*Model sold from 24,215, projected 24,074 against a close of 24,080 * *24*Plan on record: long gamma both sides, range 23,930 to 24,240, flat by 3:15 Show all 24 05In his words The fingerprint is not the price. It is the delivery column. Passive funds cannot trade intraday, they have to take delivery. Zero dislocation. Zero on Reliance, zero on Eternal, zero on Adani. 06Transcript ## The full episode, in text. Read the transcript Reading mode Copy link 1,204 words, about 5 min to read A very good morning, guys. Yesterday was the MSCI rebalance, the single most telegraphed flow day on the calendar. Everybody knew it was coming, everybody knew roughly what size, and everybody knew exactly when it would land. 4 times Friday's, 49,000 crore against 21,000. And the fingerprint is not the price, it is the delivery column. Reliance printed 87 percent delivery, Eternal 87 percent, Adani Energy Solutions 83 percent, Bharti 82 percent. 6 percent against a normal of the low 40s. Passive funds cannot trade intraday, they have to take delivery, and this is precisely what the file shows. The price moved hard for it too. 7. Now here is the part I did not expect, and it changes what I was going to tell you this morning. In every single one of these names, the closing auction price printed at the last traded price. Zero dislocation. Zero on Reliance, zero on Eternal, zero on Adani, zero on Laurus Labs, zero on HDFC Bank, on the biggest flow day of the year. In the biggest, most crowded names, the auction was flawless. But the market drifted a lot, and it broke in exactly the same corner it broke last Thursday. This is The Tanmay Edge. You are listening to episode 115. I am Tanmay Kurtkoti. Let's go. So let me finish that thought, because it is the whole episode. I ran the same test I ran last week, every liquid stock's last traded price against its official closing price, 1,678 names. 00 percent. In the MSCI names it was zero. But 111 stocks closed more than 1 percent away from their last traded price, and 17 of them more than 2 percent. 94. And every single one of them was a microcap, the thin book that we saw. So think about it. Yesterday the closing auction took the hardest test it is ever going to be given, a scheduled event, enormous flows arriving all at once, in the most heavily traded stocks in the country. And it passed. But did it fail at what it should do for derivatives? The mechanism is not the problem. It is liquidity, and the way that affects the derivative market, that is the issue. And today is the Nifty expiry, so we can see the market hitting some volatility one more time again in the last session. So keep a watch on that. 5 out of 5. The 24,000 support was the right level and it held on a closing basis, but it broke intraday and the day never got back to 24,200. com. So the board, and today's expiry is important. Both sides added, 282 lakh calls and 183 lakh puts. 8 crore puts. 5 lakh, which is now the biggest single position on the entire board. 50 lakh onto 24,050. So 24,000 and 24,050 become the biggest support. And at 24,100 the two sides are dead even, 101 lakh calls against 104 lakh puts, that is almost 2 crore of open interest present at 24,100. Above that, calls are stacked at 24,200, 24,300 and 24,400, and puts came off the same levels, with nearly 20 lakh removed from 24,200, 24,300 and 24,150. 776. Max pain sits at 24,100, 20 points above the spot on expiry day, and the gamma flip level is also over there, 24,150 to 24,200, around 70 to 110 points above the spot. Now the number that matters most today. 45. And for the first time in the entire run, the model has flipped from sell volatility to buy volatility. The screener sees it louder. India VIX scored 672 and it is the highest conviction long by an enormous distance. With the VIX itself trading higher, the two independent signals are saying the same message. Own the movement today, do not sell it. One standard deviation for the expiry is 160 points and gives us a range of 23,920 to 24,241. The at the money straddle is roughly around 150. So who did what. The pros sold 1,09,000 calls, which is the third flip of that book in about a week, and at this point you have to read that desk as having no view at all, only a range in which the proprietary traders are trading. The foreigners added another 6,700 futures short and the book only grew. The crowd bought a lakh more calls and covered another 39,000 naked puts. 86 lakh in two sessions. 86 lakh is still big. The flows, and this is where it turned. The foreigners sold 7,986 crore in the cash market. That is bigger than Friday's 5,040 and it is the largest single day sale of the month. The locals bought 4,589 crore on the DII side in the cash market. On Friday they absorbed it rupee for rupee and the index closed green. Yesterday they did not, and the index fell. So the tag on the day is partial absorption, and the cumulative foreign number for the month has now flipped negative. Two sessions, 13,000 crore of foreign selling against 9,000 crore of local buying. The first day it held, the second day it did not. The model called it well. Sell from 24,215, projected value 24,074, closed at 24,080, just under six points, and the trade is up 162 points. 22 and still climbing, and remember it was 86 last Wednesday. Gold has stabilised at 4,440. 95, a third straight rise. 16. 31 percent. 21 percent, pointing to an open towards 24,030 to 24,060 levels. 39, so an alpha of half a percent on day one. 23. So the plan for expiry is simple. The gap down opens near 24,030 to 24,060. 5 lakh puts present over there, the biggest position on the board, and it has already been tested once yesterday with a low of 23,993. Today, in the first step, I think we should break that and see 23,930 to 23,950 getting tested. Max pain stands at 24,100 and we should bounce back towards that level, or around 24,000, before entering the cash session. The gamma flip is at 24,150 to 24,200, so only if the market rallies above 24,150 could we see some rally continuation. Until then it will be a volatile session compressing around the 24,100 level. The expiry range currently stands at 23,930 to 24,240. Remember this, but trade only in the range, and you can go long gamma on both sides. Both the panel and the screener have flipped to buying, so it is a long volatility structure, and do not sell premium naked into it. 86 lakh naked puts, where the support is 23,900 which can easily go, and the market can drift towards 23,800 as well. So keep a watch on that one standard deviation level. Spreads only, be flat by 3:15, after which the casino opens. And you can go long on volatility, just play for the premium and see what happens to it. The auction passed its test but failed the derivatives market. This was The Tanmay Edge. If you found value in today's episode, please share it with one trader friend who needs it right now. com first. So have a safe expiry, happy Tuesday, and see you all once again tomorrow. Questions ## EP115, in plain words. What does EP115 of The Tanmay Edge cover?EP115, Tuesday 1 Sep 2026, 10:39, in 7 chapters: Cold open: the most telegraphed flow day on the calendar; The fingerprint is the delivery column; The same test, 1,678 names; The board into expiry: both sides added; The number that matters: the model flips to buy volatility; Who did what: a desk with no view and a crowd reducing risk; The plan: long gamma on both sides. How did the calls in EP115 score?Grade 3/5 (60 percent): 2 hit, 1 partial, 0 mechanical, 2 miss. Graded the next trading day, 2 Sep 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. 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