S2Ep117 | I Tested My Own Finding And It Did Not Repeat | Correlation Minus 0.712 On The Rebalance Day, Minus 0.087 On A Normal One | 44 Stocks Mispriced Then, One Now | The Auction Is Not Broken, It Is Thin | 3rd Sept Thursday

sion and it comes apart when size turns up. That is a depth problem, not a design problem.METHOD NOTE. The reversal test no longer needs the delivery file. Day VWAP can be rebuilt from the BhavCopy as turnover divided by volume, validated on 2,186 names against the official average price with a median error of 0.0009 percent.AND YET. The Nifty's high for the day was 23,914.45 and its close was 23,914.45. The Sensex high 76,570.35, close 76,570.35. The BANKEX the same. Three indices printed the day's high as the closing print and the continuous market never traded above it. On the exchange's auction chart the indicative was near 23,930 at 15:20, 24,042 thirty seconds later, then nine minutes of decay to 23,914.45. That is 128 points, the day after 117.THE TAPE. Nifty 23,914.45, down 141.35, minus 0.59 percent. Open 23,858, a gap down of 198 points, low 23,786.80. 24000 finally went: it had broken intraday and closed above three sessions running, then gapped straight through at the open and never came back. Auto fell 1.79 percent with one of fourteen up, IT 1.25 with zero of ten up. Breadth bad a fourth session at 14 up against 36 down.THE BOARD, AND THE REAL NEWS IN IT. The put book moved down 200 points in a single session: 184 lakh puts added at 23900 and below, 39 lakh pulled off 24000 and above, with 23800 alone taking 48 lakh. The writers did not defend 24000, they rebuilt support two hundred points lower. Support 23800 at 78.26 lakh, then 23600. Resistance 24200 at 100.94 lakh calls, then 24000 at 87.56. Max pain 23950, gamma flips at 23900 with spot fourteen points above it, band 23,785 to 24,045. The September future closed 24,000.30 with the basis widening to plus 85.85, so the selling was in cash and not in futures.AND THE NUMBER THAT DOES NOT ADD UP. Foreigners bought 6,688 crore of cash, the biggest single day buy in months. Locals bought 2,813. That is 9,501 crore of institutional buying, and the index fell 141 points. The same foreigners bought 2,604 crore of stock futures and added 41,679 stock futures longs while pushing their index short to a run high and selling 51,192 more calls. Liking the companies and not the market, executed at size.THE MORNING. GIFT 24,102.50, up 0.57 percent, pointing to an open near 24,030 to 24,060. Asia has turned, Korea up 1.26, Nasdaq up 0.45. Gold reversed to 4,417 and the yen strengthened 1.29 percent. And every major bond market is at or under a 52 week yield high: America 4.78 against 4.82, Japan 2.96 against 3.02 printed yesterday, Germany 3.38 against 3.40, India 6.98 with the 30 year at 7.58.THE PLAN. A gap up into the zone the market spent all of yesterday underneath. Max pain 23950 sits below the likely open, so the magnet is behind rather than in front. A gap up into 24000 with the put support two hundred points lower is the setup for a fade, not a follow through. Sensex expiry today: max pain 76,500 with spot seventy above it. Spreads only, flat by 3:15, and do not judge the day before the uncross.Prior episode graded 2.5 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.