S2Ep112 | The Close Was Made In The Auction | Sensex Expiry Day, Max Pain 77600 Is Also The Gamma Flip | Writers Flip From 8-To-1 Puts To 5-To-1 Calls, 78000 Wall Hits 39.6 Lakh | Nifty PCR Collapses 1.16 To 0.73, Floor Migrates To 24000 |

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 that close, because the same one settles today's contracts.Wednesday's Sensex: 77,472.94, down 183.15 points (-0.24%), with a high of 77,986.84 and a low that WAS the close. The afternoon tape sat between 77,600 and 77,700; the settlement print took it roughly 180 points lower. The Nifty did the same thing: near 24,280 at 3:15, printed 24,207.75, also its low. The futures never followed either down, which is why the September basis now reads an inflated 245 points.Under the surface, a violent split: the BANKEX added 0.40% while Focused IT fell 0.91%. Kotak Bank +3.53%, UltraTech +1.87%, Axis +1.33%, Tata Steel +1.10% against Infosys -1.94%, Bharti -1.91%, L&T -1.76%, Power Grid -1.48%, Reliance -1.04%. And the reversal of Tuesday: the Nifty fell 0.52% while the Smallcap 100 (+0.81%), Smallcap 50 (+0.62%) and Microcap 250 (+0.60%) all closed green. India VIX fell 5.86% to 10.43, the lowest of this cycle.The Sensex board flipped completely. Tuesday: 121 lakh puts written against 16 lakh calls, eight to one. Wednesday: 269 lakh calls against 54 lakh puts, roughly five to one the other way. 78000 added 25.7 lakh calls to reach 39.6 lakh, by far the biggest position, with 77900 (+18.0), 77800 (+17.3), 78200 (+13.5) and 78100 (+12.2) behind it, while calls at 77300, 77200, 77100 and 77000 were covered. On the put side 77000 remains the biggest base at 20.1 lakh, but 77500 was TRIMMED by 3.4 lakh to 14 lakh, thinning the shelf right under spot. PCR 0.858. Max pain 77600, sitting 127 points above spot, and gamma flips positive at 77600 too: the magnet and the pivot are the same level today. One-day implied 10.06%, one standard deviation ±408 (77,065 to 77,881), ATM straddle 379.The Nifty board mirrored Tuesday in reverse: calls written 4.3x faster than puts (590 lakh vs 137 lakh), 24500 becoming the biggest position at 103.9 lakh. The front-line support is being dismantled (24200 -11.3 lakh puts) while new puts build lower (23900 +25.0, 24000 +15.1): the writers are moving their floor to 24000. PCR collapsed 1.159 to 0.733 in one session; gamma still flips at 24350 and spot sits below it.The participants: proprietary desks sold calls again, a third flip in four sessions, and bought back 51,000 puts. Foreign institutions wrote 37,000 more calls and kept futures short, while buying 503 crore of cash, a third straight buy day. Retail bought 96,000 more calls AND added 59,000 naked puts, taking that book back to 6.63 lakh: long calls and short puts on the day the market broke. Domestic institutions wrote a 6,425 crore cheque, up from 230 crore.The plan on record: 77600 is the pivot, 78000 the ceiling, 77000 the real floor, and do not judge the day at 3:15.Data sourced from NSE, BSE, SEBI, NSDL and CDSL. New episode every trading day at 8:30 AM IST. The Tanmay Edge streams first on rupeecase.com. Educational content, not investment advice. SEBI RA application under process.