--- title: "It Is Not Volume. It Is One Way Flow. | The Tanmay Edge" description: "AND THE PRINT DID IT AGAIN. The Nifty's low was 23,873.45 and its close was 23,873.45. The Sensex low 76,152.86, close 76,152.86. The BANKEX the same, while" source_url: "https://www.rupeecase.com/podcast/episodes/2026-09-04" --- The Tanmay Edge, Season 2, EP118 # It is not volume. It is one way flow. Three tests in three days settle the closing auction argument, On expiry day it mispriced one stock out of 210 against 72 out of 1,955 outside it Third test run on Sensex expiry, the busiest session of the week * **12:42**listen * **3.5/5**graded at settlement * **Fri 4 Sep 2026**aired, Season 2 Now playing It is not volume. It is one way flow. EP118, 4 Sep, 12:42 1x 0:00Chapter marks are estimated from the notes12:42 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 ## 3.5/5 at settlement. **3.5/5**70% **The call.** Third test run on Sensex expiry, the busiest session of the week The auction mispriced one stock of 210 by more than 2 percent The non auction market managed 72 of 1,955, so the auction was seven times better All three tests rebalance four times worse, ordinary day three times better, expiry seven times better Verdict the auction handles volume, it does not handle one way flow Nifty low 23,873 equalled its close, Sensex low 76,152 equalled its close, Bankex the same Three indices printed the day low as the close, two sessions after printing the high Sensex indicative flashed 74,373 at 15 20 against a 76,152 settle, 1,780 points Third time on record * **2**Hit * **2**Partial * **0**Mechanical * **1**Miss Graded the next trading day, 7 Sep 2026, against NSE settlement. The grader's noteGraded Mon 07 Sep against the Fri close 23,897. TK: the open came in 40 points under the call and the rotation trade reversed. The gap up near 23,950 to 23,980 did not arrive as framed, and the real trade this week is smallcaps, defence, chemicals and energy was exactly wrong for a session where the large caps led and the broader market gave back Thursday. What held was the structure: 24,000 was called the most defended strike and it capped the day at 24,005, the 23,750 to 24,000 band contained the session, and the spreads only discipline paid on a day that closed on its low. Levels right, rotation wrong. Three and a half 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: the real trade is not the indexImplied volatility is under 10 percent, the one day standard deviation is plus or minus 117 points, so 23,758 2. **07**The plan: the real trade is not the indexImplied volatility is under 10 percent, the one day standard deviation is plus or minus 117 points, so 23,758 3. **07**The plan: the real trade is not the indexImplied volatility is under 10 percent, the one day standard deviation is plus or minus 117 points, so 23,758 4. **07**The plan: the real trade is not the indexImplied volatility is under 10 percent, the one day standard deviation is plus or minus 117 points, so 23,758 5. **07**The plan: the real trade is not the indexImplied volatility is under 10 percent, the one day standard deviation is plus or minus 117 points, so 23,758 6. **07**The plan: the real trade is not the indexImplied volatility is under 10 percent, the one day standard deviation is plus or minus 117 points, so 23,758 7. **07**The plan: the real trade is not the indexImplied volatility is under 10 percent, the one day standard deviation is plus or minus 117 points, so 23,758 Cold open: it is not the volume, it is one way flow **1,955**Auction managed out It is not the volume. It is one way flow. Three days, three tests, and yesterday finished the argument. Yesterday was the Sensex expiry, the busiest, most crowded session of the week. And on that day the closing auction session mispriced one stock out of 210 Read the chapter The three tests side by side **2 percent**Mispriced by more 31st August, the MSCI rebalance, 44 of 210 mispriced by more than 2 percent, four times worse than everything else. 2nd September, an ordinary Wednesday, three of 210, three times better. 3rd September, the Sensex expiry, one of 210, seven times better. Expiry Read the chapter The print did it again, the other way **23,873**Nifty's low yesterday **76,152**Sensex low **75,098**August, the indicative **76,933**Against settlement The Nifty's low yesterday was 23,873 and its close was 23,873. The low was equal to the cash closing. The Sensex low was 76,152 and the close was 76,152. The Bankex, the same. Three indices printed the day's low as the close, two sessions after they printed Read the chapter The receipt: defined risk priced in advance **76,400**Put, buy **0.17 percent**Points, minus **417 points**Percent, the Sensex **0.55 percent**Sensex down points, minus So yesterday I gave you an iron fly. Sell the 76,700 call and put, buy the 76,400 put and the 77,000 call. The credit was 237. And around 3 pm the same was trading around 170. So the wings cost 212 and saved 34 on the day. That is the defined risk I am talking Read the chapter A rotation, not a rally **0.9 percent**Percent, Smallcap **0.17**Nifty at minus **2.58 percent**Realty plus **1.74**Percent, media plus The index did nothing and everything below it went up. The Nifty 500 printed 307 advances against 190 declines, and the total market 460 against 285, after four straight bad breadth sessions. That is a complete flip. Smallcap 50 up 1.24 percent with 37 up and Read the chapter The board: the biggest one day call build of the run **1,334**Calls lakh, puts **0.656**Lakh, puts lakh, PCR **2.1**Calls written **1.83**Total now stands Calls 2,032 lakh, puts 1,334 lakh, PCR 0.656, calls written at 2.1 times the pace of the puts. 24,000 took 96 lakh calls in one session and the total now stands at 1.83 crore. That is the biggest resistance we are going to face going ahead. Then 24,100 at 1.21 Read the chapter The plan: the real trade is not the index **10 percent**Implied volatility **117 points**Plus or minus **23,758**Minus points **23,989**Minus points Implied volatility is under 10 percent, the one day standard deviation is plus or minus 117 points, so 23,758 to 23,989. The 23,900 straddle is 214 over four days, about 134 points a day, so the band comes around 23,750 to 24,000. The pros flipped their call Read the chapter 03The notes ## Chapter by chapter. ### *01*Cold open: it is not the volume, it is one way flow It is not the volume. It is one way flow. Three days, three tests, and yesterday finished the argument. Yesterday was the Sensex expiry, the busiest, most crowded session of the week. And on that day the closing auction session mispriced one stock out of 210 by more than 2 percent. The stocks that are not in the auction managed 72 out of 1,955. The auction was seven times better than the rest of the market on the heaviest day of the week. So it is not the size that breaks it. ### *02*The three tests side by side 31st August, the MSCI rebalance, 44 of 210 mispriced by more than 2 percent, four times worse than everything else. 2nd September, an ordinary Wednesday, three of 210, three times better. 3rd September, the Sensex expiry, one of 210, seven times better. Expiry has enormous volume and the auction ate it without blinking. What broke it in August was not the volume. It was flow with one direction, one head, one deadline and a name list of stocks. Passive money has to buy, has to buy those exact names, and has to be finished by the close. That is what the auction cannot absorb. The auction handles volume. It does not handle one way flow. That is the whole arc, and it took three days and a control group to get there. ### *03*The print did it again, the other way The Nifty's low yesterday was 23,873 and its close was 23,873. The low was equal to the cash closing. The Sensex low was 76,152 and the close was 76,152. The Bankex, the same. Three indices printed the day's low as the close, two sessions after they printed the high as the close. So the charts are completely messed up and the closing prices are completely messed up. The Sensex indicative at 15:20 flashed 74,373 and it settled 76,152. That is a 1,780 point swing in less than eight minutes. The same thing happened on 27th August, the indicative was 75,098 against a settlement of 76,933. Third time on record. The Sensex was 76,551 at 3:13 and printed 76,152, so the auction took out 400 points. The Nifty window was quiet by comparison, about 58 points against the 117 and the 128 of the two days before. ### *04*The receipt: defined risk priced in advance So yesterday I gave you an iron fly. Sell the 76,700 call and put, buy the 76,400 put and the 77,000 call. The credit was 237. And around 3 pm the same was trading around 170. So the wings cost 212 and saved 34 on the day. That is the defined risk I am talking about. The tape yesterday: the Nifty was down 41 points, minus 0.17 percent, the Sensex down 417 points, minus 0.55 percent, IT minus 1 percent. India VIX slipped again and is still under 12. Cash turnover was 1 lakh 7,700 crore from 1 lakh 12,965 crore, so the cash volume is still going down every day. ### *05*A rotation, not a rally The index did nothing and everything below it went up. The Nifty 500 printed 307 advances against 190 declines, and the total market 460 against 285, after four straight bad breadth sessions. That is a complete flip. Smallcap 50 up 1.24 percent with 37 up and 13 down, Smallcap 250 up 1.03 percent, Smallcap 500 up 0.9 percent, against the Nifty 50 at minus 0.17 with a breadth of 21 up and 29 down. Realty plus 2.58 percent, media plus 1.74, PSU banks plus 0.48, private banks plus 0.5, Nifty Bank plus 0.3. And IT was minus 0.85 percent. This is a rotation, not a rally. Money left the index and went down the cap curve. ### *06*The board: the biggest one day call build of the run Calls 2,032 lakh, puts 1,334 lakh, PCR 0.656, calls written at 2.1 times the pace of the puts. 24,000 took 96 lakh calls in one session and the total now stands at 1.83 crore. That is the biggest resistance we are going to face going ahead. Then 24,100 at 1.21 crore, 24,050 at 38 lakh, and 24,300 with around 29 lakh added. Support is at 23,500 with 1.05 crore, then 23,600 at 82 lakh, and 24,000 also has a decent buildup on the put side of around 74 lakh. Max pain sits at 23,950, almost 77 points above the spot, so for once the magnet is in front of us, not behind us. The gamma flip is at 23,900 and the spot is 27 points underneath. And the futures still will not follow the cash: the September contract closed at 24,000, the basis has gone 34 points, then 85, then 126 across three sessions, and the futures have closed at or above 24,000 twice while the cash sits 127 points below it. ### *07*The plan: the real trade is not the index Implied volatility is under 10 percent, the one day standard deviation is plus or minus 117 points, so 23,758 to 23,989. The 23,900 straddle is 214 over four days, about 134 points a day, so the band comes around 23,750 to 24,000. The pros flipped their call book net short again, a sixth flip in about 10 days, so it has no view at all. The FIIs added another 6,000 futures short to 2,35,102, another run high. And the crowd sold 89,000 more naked puts, taking that book to 8 lakh, the largest since the 8.44 lakh book that expired worthless on 26th August. Remember how that ended. On the flows the foreigners sold 2,346 crore of cash and the locals bought 4,977 crore, fully absorbing it, but the foreigners bought 7,186 crore of index options and 1,121 crore of stock futures. Still long the companies, short the index. So the plan: a gap up near 23,950 to 23,980, straight into 24,000, now the most defended strike on the board. Resistance 24,000, then 24,100, then 24,200. Support at 23,900 is building nicely. The real trade this week is not the index, it is smallcaps, defence, chemicals and energy. And the risk is that the crowd is short eight lakh puts, so the market would not break easily. Oil at 96 is also a concern, up 11 percent in eight sessions. Spreads only, stay light in the cash session, and do not carry anything extra after 3:50. 04Key takeaways ## 24 things to carry into the session. * *01*Third test run on Sensex expiry, the busiest session of the week * *02*The auction mispriced one stock of 210 by more than 2 percent * *03*The non-auction market managed 72 of 1,955, so the auction was seven times better * *04*All three tests: rebalance four times worse, ordinary day three times better, expiry seven times better * *05*Verdict: the auction handles volume, it does not handle one way flow * *06*Nifty low 23,873 equalled its close, Sensex low 76,152 equalled its close, Bankex the same * *07*Three indices printed the day low as the close, two sessions after printing the high * *08*Sensex indicative flashed 74,373 at 15:20 against a 76,152 settle, 1,780 points * *09*Third time on record after the 75,098 against 76,933 print on 27 August * *10*The iron fly credit was 237 and the wings cost 212, saving 34 on the day * *11*Nifty down 41 points, Sensex down 417, IT minus 1 percent * *12*Cash turnover fell again to 1 lakh 7,700 crore * *13*Breadth flipped after four bad sessions, Nifty 500 307 up against 190 down * *14*Smallcap 50 up 1.24 percent, Realty plus 2.58, while IT fell 0.85 * *15*24,000 took 96 lakh calls in one session, the biggest one day build of the run * *16*24,000 call total now 1.83 crore, the biggest resistance ahead * *17*PCR 0.656 with calls written at 2.1 times the pace of puts * *18*Max pain 23,950 sits 77 points above spot, so the magnet is in front for once * *19*Gamma flip at 23,900 with the spot 27 points under it * *20*September basis widened 34 to 85 to 126 across three sessions * *21*Pros flipped the call book net short again, a sixth flip in about 10 days * *22*Crowd sold 89,000 more naked puts, taking that book to 8 lakh * *23*FIIs sold 2,346 crore cash but bought 7,186 crore of index options * *24*Plan on record: 24,000 the most defended strike, band 23,750 to 24,000, spreads only Show all 24 05In his words It is not the volume. It is one way flow. The auction was seven times better than the rest of the market on the heaviest day of the week. Expiry has enormous volume. The auction ate it without blinking. 06Transcript ## The full episode, in text. Read the transcript Reading mode Copy link 1,417 words, about 6 min to read A very good morning, guys. It is not the volume. It is one way flow. So I am talking about the CAS. Three days, three tests, and yesterday finished the argument. Yesterday was the Sensex expiry, the busiest, most crowded session of the week. And on that day the closing auction session mispriced one stock out of 210 by more than 2 percent. The stocks that are not in the auction managed 72 out of 1,955. The auction was seven times better than the rest of the market on the heaviest day of the week. So it is not the size that breaks it. This is The Tanmay Edge. You are listening to episode 118. I am Tanmay Kurtkoti. Let's go. So the three tests side by side. 31st August, the MSCI rebalance, 44 of 210 mispriced by more than 2 percent, four times worse than everything else. 2nd September, an ordinary Wednesday, three of 210, three times better. 3rd September, the Sensex expiry, one of 210, seven times better. Expiry has enormous volume. The auction ate it without blinking. What broke it in August was not the volume. It was flow with one direction, one head, one deadline and a name list of stocks. Passive money has to buy, has to buy those exact names, and has to be finished by the close. That is what the auction cannot absorb. The auction handles volume. It does not handle one way flow. That is the whole arc, and it took three days and a control group to get there. And the print did it again, the other way. The Nifty's low yesterday was 23,873 and its close was 23,873. The low was equal to the cash closing. The Sensex low was 76,152 and the close was 76,152. The Bankex, the same. Three indices printed the day's low as the close, two sessions after they printed the high as the close. So the charts are completely messed up and the closing prices are completely messed up. The Sensex indicative at 15:20 flashed 74,373. It settled 76,152. That is a 1,780 point swing in less than eight minutes. The same thing happened on 27th August also, the indicative was 75,098 against a settlement of 76,933. Third time on record. The Sensex was 76,551 at 3:13 and printed 76,152, so the auction took out 400 points of it. The Nifty window was quiet by comparison, about 58 points against the 117 and the 128 of the two days before. So yesterday I gave you an iron fly. Sell the 76,700 call and put, buy the 76,400 put and the 77,000 call. The credit was 237. And around 3 pm the same was trading around 170. So the wings cost 212 and saved 34 on the day. So that is a defined risk that I am talking about. The tape yesterday. 17 percent. 55 percent. IT minus 1 percent. India VIX slipped again and is still under 12. Cash turnover was 1 lakh 7,700 crore, from 1 lakh 12,965 crore, so the cash volume is still going down every day. So the index did nothing, and everything below it went up. The Nifty 500, 307 advances against 190 declines. Total market 460 against 285, after four straight bad breadth sessions. That is a complete flip. 24 percent with 37 up and 13 down. 03 percent. 17 with a breadth of 21 up and 29 down. 3 percent. 85 percent. This is a rotation, not a rally. Money left the index and went down the cap curve. So the board, and what the option chain looks like. 1 times the pace of the puts. 83 crore. 83 crore of calls. 21 crore, 24,050 at 38 lakh, and 24,300 with around 29 lakh added. 05 crore, then 23,600 at 82 lakh, and 24,000 also has a decent buildup on the put side of around 74 lakh. So max pain sits at 23,950, almost 77 points above the spot. For once the magnet is in front of us, not behind us. The gamma flip level is at 23,900, and the spot is 27 points underneath it. And the futures still will not follow the cash. The September contract closed at 24,000. The basis has gone 34 points, then 85, then 126 across three sessions. The futures have closed at or above 24,000 twice while the cash is 127 points below it. Remember this. Implied volatility is under 10 percent. The one day standard deviation is plus or minus 117 points, so 23,758 to 23,989, call it 24,000, is what we are looking at. The 23,900 straddle is 214 over four days, about 134 points a day is what the calculation is showing me. So the day's band again comes around 23,750 to 24,000. The next Nifty expiry is on Tuesday and the next Sensex expiry is next Thursday. The Sensex basis is plus 182 points. So the pros flipped their call book to net short again. That is a sixth flip in about 10 days. It has no view at all. The FIIs added another 6,000 futures short to 2,35,102 short futures, another run high, and sold 12,000 more calls. And the crowd sold 89,000 more naked puts. 44 lakh book that expired worthless on 26th August. Remember how that ended. So the flows. The foreigners sold 2,346 crore in the cash market and the locals bought 4,977 crore, fully absorbing it. But look at the rest. They bought 7,186 crore of index options, 1,121 crore of stock futures and 221 crore of stock options. The only two lines they sold were cash and index futures. Still long the companies, short the index, the same trade they have been running. Rolling 20 sessions, the FIIs are minus 4,453 crore and the locals plus 60,374 crore. So the model is still on the short side and we are watching that closely. 38 percent. That points to an open near 23,950 to 23,980, a gap of around 90 points. Everything is green. 61. 40. Brent is trading strong at 96, it was 86 eight sessions ago. 98. Gold is at 4,472 and the rating has flipped to bullish; it was 4,300 and bearish two mornings ago, so 172 dollars up in two days. 7 percent drop in two sessions. 49 is up half a percent and at its strongest in weeks. And the bonds have finally eased. So risk on is everywhere. The dollar is breaking, the volatility bid is breaking, and yields are backing off. This is a different world from Wednesday. A small positive day for the book against a benchmark that fell. com. 66. 90. The next rebalance is on 14 September, so keep a watch over there. So yesterday's episode, I will give it a 4 out of 5. The actual expiry got moved in the cash session, but the rest of the day worked out totally. So the plan for today is extremely simple. 8 crore. Resistance is 24,000, then 24,100, then 24,200. Max pain sits at 23,950, above the spot, so for once the magnet is in front of us, except that a pull towards 23,950 in the early morning session will negate the rally. Support at 23,900 is building nicely, so keep a watch over there. The band currently stands at 23,750 to 24,000, where we could see a rally coming up from 24,000, and again the closing is extremely important. Gamma flips at 23,900 and we are 27 points under it, so until it reclaims and we are considerably above 23,900, the moves are dampening and we would move towards 24,000. So the real trade this week is not the index. It is smallcaps, defence, chemicals and energy, which is where the strength is. And the risk here is that the crowd is short eight lakh puts. That is what worries me, and that is where the market would not break easily. Oil at 96 is also a concern and is up 11 percent in eight sessions, so keep a watch over there. So spreads only, or iron flies at 24,000 make sense, until today's expiry. So do not carry heavy into Monday's opening. Also stay light in the cash session, and do not carry something extra after 3:50. And if you liked this episode, share it with one trader friend who needs it right now. com where it streams first. See you all once again on Monday. Until then, have a happy expiry and a great weekend. Questions ## EP118, in plain words. What does EP118 of The Tanmay Edge cover?EP118, Friday 4 Sep 2026, 12:42, in 7 chapters: Cold open: it is not the volume, it is one way flow; The three tests side by side; The print did it again, the other way; The receipt: defined risk priced in advance; A rotation, not a rally; The board: the biggest one day call build of the run; The plan: the real trade is not the index. How did the calls in EP118 score?Grade 3.5/5 (70 percent): 2 hit, 2 partial, 0 mechanical, 1 miss. Graded the next trading day, 7 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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