S2Ep116 | The Auction Gave It All Back | 69 of the 70 Stocks It Marked Up on Monday Fell on Tuesday | Correlation Minus 0.712 Inside the Auction, Zero Outside It | ITC Printed 255.50, Closed 266.60 |

On Monday the closing auction printed ITC at 255.50. The market had spent six hours trading it at an average of 262.30. On Tuesday, with continuous trading back, ITC closed at 266.60. One stock is an anecdote, so we tested the whole list.THE STUDY. Universe: the 210 futures and options stocks, which is the auction list. Control: the other 1,975 traded stocks, which are not in it. For Monday, each auction print measured against that stock's own average price for the day. For Tuesday, the plain return. Then correlate. Inside the auction: MINUS 0.712. Outside it: PLUS 0.018, which is zero. The regression slope inside the auction is minus 1.037, so on average the entire Monday dislocation was given back one for one the next day.THE BUCKETS. Of the 70 stocks the auction marked UP by more than 1 percent, 69 fell on Tuesday, average minus 2.73. Of the 24 marked down, 17 rose. Of the 44 printed more than 2 percent from their own day, 40 reversed. In the control group both buckets came out at minus 0.55 and minus 0.56, which is just the market. Bharti printed 1.93 below its own day and rose 3.60. Adani Ports printed 1.70 below and rose 3.41. ICICI Bank, the one big name marked UP at plus 1.26, fell 1.10. Maruti, marked up 1.02, fell 4.41.THE CAVEATS. One pair of days. Monday was the MSCI rebalance, so this is the effect at its maximum. Some of the reversal may be index flow unwinding. The control group removes the market wide explanation, not that one. What survives: Monday's closing price was not the price.AND TUESDAY IT HAPPENED AGAIN. The tape spent the last hour between 23,952 and 24,000. On the exchange's own auction chart the indicative was 24,008 at 15:20, 24,125 thirty seconds later, and decayed to 24,055.80 by 15:29. A 117 point swing in ten minutes with no index event. The auction added 71 points to the Nifty and 226 to the Sensex, and took 71 points of futures basis out without a single futures trade.THE TAPE. Nifty 24,055.80, minus 0.10 percent, open 24,077.55, high 24,143.15, low 23,952.55. So 24000 broke intraday for a third straight session and closed above it for a third straight session, and only the auction made that true. Sensex 76,944.28, flat. India VIX 11.25. Breadth bad a third day: Nifty 500 was 208 up against 291 down, Midcap 100 minus 1.39 against a Nifty at minus 0.10.THE BOARD, 8 September series, day one. Calls 1,042 lakh against 721 lakh of puts, written at twice the pace, PCR 0.692 from 0.966. Resistance 24200 at 73.95 lakh calls, 24500 at 72.31, 24100 at 64.21. Support 24000 at 53.50 lakh puts, 23600 at 48.35. Max pain 24100, 44 points above spot. Gamma positive above 23950 for the first time in this run. One standard deviation 125 points, band 23,930 to 24,190.POSITIONING. Pro flipped its call book net short for a fourth time in a week. FII added 12,717 futures shorts to a run high of 2,22,032 while buying 1,143 crore of cash, a hedged long and not a bear. The crowd sold 70,902 more naked puts back to 7.57 lakh after covering two sessions, and bought 66,301 more calls.THE MORNING. GIFT 24,043.50, minus 0.03. Korea minus 3.17, Japan about 2.75, Taiwan 1.19, Hong Kong 1.26. Nasdaq minus 1.03. Brent 95.77 against 86.44 last Wednesday. Gold 4,300 and bearish. Rupee 94.95. Everything moved. GIFT moved 7 points. The highest conviction long in the global screener is the VIX at 15,757.Prior episode graded 3 on 5. Full scorecard on rupeecase.com.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.