S2Ep114 | The Banks Bought Themselves Back | BANKEX Recovers 650 of 1,094 Points | Puts +311 Lakh, Calls -36 Lakh, PCR Turns for the First Time in Four Sessions | 31st Aug Monday

On Thursday the closing auction knocked 1,094 points off the BANKEX and marked IndusInd Bank at 970 while the same share traded at 1,002.90 on the other exchange. Federal Bank at 334.10 against 344.80. PNB at 112 against 115.40. Canara at 125.05 against 128.14. On Friday the BANKEX took back 650 of those 1,094 points. Sixty percent, in a single session, with nothing changed at any of those banks. A continuous market reopened and repriced them. That is the cleanest proof available that Thursday's marks were mechanical, not fundamental.And the auction behaved differently on Friday: it ADDED points. The Nifty tape sat near 24,150 into 15:25, spiked toward 24,245 in the closing window and printed 24,175.65. For the first time in four sessions the close was not the low.THE TAPE. Nifty 24,175.65, up 84.80, up 0.35 percent, low 24,076.85, high 24,188.30. Sensex 77,264.51, up 330.92, up 0.43 percent. BANKEX 64,963.48, up 1.01 percent, against a Nifty Bank that finished flat at minus 0.02 percent, with the recovery concentrated in exactly the names the auction had marked down. India VIX 10.66, down 3.7 percent, back under eleven after three straight rises.ONE SECTOR DID IT. Nifty IT rose 3.51 percent with ten of ten constituents advancing. TCS plus 4.09, Infosys plus 3.34, Tech Mahindra plus 3.18, HCL Tech plus 2.68. BSE Focused IT plus 3.42 percent. The top four slots on the Sensex 30 were all IT. And the warning underneath it: the Nifty 50 was 30 up against 19 down, but the Nifty 500 was 225 up against 271 down and the total market 350 against 396. The index rose while the average stock fell.THE BOARD FLIPPED. After three straight sessions of calls being written three and a half times faster than puts, Friday reversed it entirely. Put open interest was ADDED 311 lakh. Call open interest was REDUCED 36 lakh. 44.4 lakh puts onto 24100, taking it to 99.2 lakh, the biggest single add. 31.6 lakh onto 24000, taking it to 102.6 lakh, now the biggest put position on the board. Calls came off where the resistance is: 17.5 lakh off 24400, 9 lakh off 24200. The put call ratio went 0.593 to 0.776, its first rise in four sessions. Max pain held 24200 with spot 24 points below it on expiry eve, and the gamma gate moved down to 24250.THE MATHS. Implied volatility 8.66 with the model flagging options rich. One standard deviation into Tuesday's expiry is 110 points, 24,066 to 24,285. The lower edge sits almost exactly on Friday's low of 24,076.85 and the upper edge just under 24300. The band brackets the magnet.WHO DID WHAT. The pros bought back 1,62,095 calls and flipped from net short calls to net long in one session, their second call-book flip in a week. The foreigners covered 35,836 call shorts but added 4,841 futures shorts, taking that book back above two lakh. The crowd sold 1,97,956 calls, the biggest single-day sale of this run, and covered 35,917 naked puts, the first reduction in four sessions, taking that book from 7.61 lakh to 7.25 lakh.THE FLOWS. Foreigners sold 5,040 crore of cash, the largest single-day sale of the month, on a day the index closed up 0.35 percent. Domestics bought 5,184 crore and absorbed it almost rupee for rupee. Cumulatively the foreigners are down to 454 crore for the month against 53,679 crore from the locals.THE PLAN. 24000 to 24100 is the strongest support on the board, 202 lakh puts across the two strikes with Friday's low at 24,076.85. Max pain 24200 sits just above spot into Tuesday's expiry. 24250 is the gamma gate, 24300 the resistance with 130.8 lakh calls on it. Range 24,066 to 24,285. Below 24000 the crowd is still short 7.25 lakh naked puts and the next support is 23900. Expiry tomorrow: spreads only, never naked.