I tested my own finding and it did not repeat

A very good morning, guys. Yesterday I told you the closing auction session mismarks stocks and the market hands it back the next day. 037, 69 out of 70 handed it back on Tuesday. I also told you on air that it was one pair of days, and that Monday was the MSCI rebalance. So I ran the next pair, an ordinary Tuesday into Wednesday. 234. Nothing. This is The Tanmay Edge. You are listening to episode 117. I am Tanmay Kurtkoti. Let's go. That could have gone in a drawer and none of us would have known.

But the reason it did not repeat is more useful than the finding was. On the rebalance day, 44 of the 210 stocks in the auction printed more than 2 percent away from their own average price. On a normal day, three did, out of 210. 2 percent of them missed by that much. So on an ordinary Wednesday, the auction was better than everything else in the market. On the rebalance day, it was four times worse. So the honest answer, the one that survives a control day, is this.

The auction is not broken. It is still thin. It handles an ordinary session perfectly well and it comes apart the moment size turns up. That is the depth problem, not a design problem. And it is exactly what the regulator's own paper worried about. I would rather give you the version that survives the second test than one that sounded better on Wednesday. And yet, look at yesterday's close. The Nifty's high for the day was 23,914 and its close was 23,914. The Sensex high was 76,570 and the close was 76,570.

Three indices printed the day high as the closing print, and the continuous market never once traded above it. On the auction chart, the indicative was near 23,930 at twenty past three, and 24,042 thirty seconds later. Then nine minutes of decay to 23,914. That is 128 points, the day after 117 points. So both things are true at once. The marks are small on a normal day, and the window is still wide. The tape. The Nifty closed 23,914, down 141 points. The open was 23,858, a gap down of 198 points, and the low was 23,786.

And 24,000 finally went. It had broken intraday and closed above it three sessions running. Yesterday it gapped straight through it at the open and never came back. The Sensex closed 76,570, down 380 points. India VIX is still under 12, and I am not quoting the decimal because the two feeds disagree. What did the damage was not banks, for once. 79 percent yesterday with one of the 14 up. 25 percent with zero of ten up. 41 with 7 up and 7 down.

Breadth was bad for a fourth session, 14 up against 36 down in the Nifty 50, and worse in the broader market. Now the board, because that is the real news. Calls 1,466 lakh, puts 1,069 lakh. Max pain 23,950, sitting 35 points above the spot. And the put book moved 200 points in one session. 84 lakh puts were added at 23,900 and below, and 39 lakh were pulled off from 24,000 and above. They rebuilt the support 200 points lower. Support is now at 23,800 and 23,900, then 23,600.

Resistance is at 24,200, the heaviest at 1 crore calls, then 24,000 at 88 lakh. The gamma flip happens at 23,900 to 23,950 and the spot closed 14 points above it, so we are sitting exactly on it, with a band of 23,800 on the lower end to 24,050 on the upper end. And the futures held what the cash did not. The September contract closed at 24,000 and the basis widened to plus 86 points. The selling was in cash, not in futures. So the positioning.

The pros flipped their call book back to net long, the fifth flip in a week, so stop reading it as a view. The foreigners added another 7,000 futures short and sold 51,000 more calls. The crowd covered 44,000 naked puts. Now the thing that does not add up. The foreigners bought 6,688 crore in cash, the biggest single day buy in months. The locals bought 2,813. So 9,501 crore of institutional buying, and the index fell 141 points. Somebody was selling into all of it, and this data does not name them.

It only tells you the buyers were not in charge. And the same foreigners bought 2,600 crore of stock futures and added 41,679 stock futures longs while shorting the index harder. That is "I like these companies, I do not like the broader market", executed at size. 57 percent, pointing to an open near 24,030 to 24,050, a gap up of around 135 points. 45. 58. Stocks bouncing, the yen up more than a percent, the VIX at 17, and every major bond market sitting on its high yield.

Those four do not usually belong in the same paragraph. 59. The next rebalance is on the 14th. 5 out of 5. The conditional was right, below 23,950 it trended, but the open was 198 points lower than I called, and the whole day traded under that band. So the plan. A gap up near 24,030 to 24,050, straight back into the zone the market spent all of yesterday underneath. The first question is whether it holds 24,000 on the way back up, and the board says the writers have stopped defending it.

Resistance is at 24,000, then 24,100, then 24,200. Max pain stands at 23,950, which is below the likely open, so the magnet is behind us, not in front of us. Support is present at 23,900, 23,800 and 23,600. The band is 23,800 on the lower end to 24,050. Gamma flips at 23,950, and yesterday proved what that means: it opened under the flip and trended for six hours. And the trap. A gap up into 24,000 with max pain below it and the put support 200 points lower is the setup for a fade, not a follow through.

Do not chase the open. Wait for it, watch it, and then go into it. The Sensex expiry is today and max pain stands at the 76,500 to 76,600 level with the spot 70 points above it. Spreads only, and we could see 77,000 as the expiry. And do not judge the day before 3:15. Just trade spreads. Have a great expiry, guys. Yesterday I gave you a finding. Today I gave you the test that broke all of it, and the half that survived is the better half.

This was The Tanmay Edge. If you found value in this, please share it with one trader friend who needs it right now. com. And give it a rating, guys, if you want to add something to the podcast. Thank you, see you all once again tomorrow morning.