Season 2, Episode 107 | 2026-08-20
Round 4, Priced For Boredom | The Auction That Moved 284 Points Costs Less This Week, 24 Lakh Calls Press 77,000, And The Crowd Sets A Fifth Record
Last Thursday the closing auction moved the Sensex 284 points in four minutes after freezing for eleven. Everybody watched it. So here is the remarkable thing about round four, which expires today: the market has priced it CHEAPER.
Verdict: 4.5/5 | 4 HIT, 1 PARTIAL | graded next morning against NSE settlement data.
Cold Open | Round Four, Priced For Boredom
Today is the Sensex expiry. Last Thursday the auction moved the Sensex almost 300 points in the last two minutes. Everybody remembers it. So what does the market price for round four this morning? Around 10 percent IV, cheaper than the last three rounds of almost 13 to 14 percent. The Sensex straddle is trading around 374 rupees for the day. 36 lakh calls are pressed on the 77,000 strike, 24 lakh of which were added yesterday. And the clients walk in short a fifth record put book of almost 7 lakh carried overnight. Expiry decides at 3:30, then the uncross decides after 3:26.
The Sensex Board | First Close Below 77,000
The Sensex closed yesterday at 76,910, just below the 77,000 strike, 325 points lower, 0.42 percent, the first close below that strike. The expiry future remained at almost 77,081, basis points above the spot close. Max pain stands at around 77,000, 90 points above the spot. The fight, 77,000, has 25 lakh calls with 24 lakh added yesterday, and around 17 lakh puts sold at the same strike. Support is at 76,900 to 77,000 where 19 lakh puts sit with almost 16 lakh added. The first actual resistance is 77,500, where the magnet should shift after the open, with around 28 lakh calls. The PCR is almo…
The Nifty | Seventh Straight Lower Close
We closed at 24,078, down 76 points, the seventh straight lower close. The staircase trend has remained, from 24,472 to almost 24,078, almost 400 points down in seven sessions. The low was 24,025, so the 24,000 base case held nicely. VIX was 11.33. The defence sector was down 1.49 percent, the defensive lean cracked, and IT was the only green at 0.73 percent. And another wild late print near 24,200 in the Nifty's closing session before settling around 24,078. That happened in the cash. The daily uncross circus continues in the cash session.
The Clients | A Fifth Record
The clients' naked put book started at 5.74 lakh, then 6.08, then 6.61, yesterday 6.97, and finally we closed at 7.13 lakh puts sold. Plus 2.73 lakh calls bought. Seven red days, five records. Nobody has ever needed five warnings, and the clients are still holding that, and we should give it to them, where today they are going to get paid on the gap up.
The Pros And The FIIs | The Lean Got Booked
The pros bought back the entire 0.7 lakh call short at the lows. The month's only directional lean got covered, a swing of 1.05 lakh calls. Their book is now exactly the opposite of yesterday, long calls of 0.33 lakh and almost one lakh long puts, back to long vol and long straddle. The lesson, they picked a side on Tuesday, melted for two days, booked it at the bottom. That is how a lean is traded. And the FII futures short remains at 2.10 lakh, first time over 2 lakh this month, call short almost 3.14 lakh, first time over 3 lakh. FII cash bought 408 crore, and the DIIs bought 3,974 crore, t…
The Nifty Board | Every Strike Is Written
The BhavCopy tells us max pain stands at the same 24,250 to 24,300 levels, 150 to 170 points above the spot close, and we open around 24,200. Call writers are at 24,100 with 79 lakh added, 24,200 with almost 1.1 crore, 24,300 with 1.16 crore and 36 lakh added, and the last strike 24,500 with 1.49 crore. Roughly two crore calls got added in one session, every round strike is sold. Support is present nicely at 24,000 with 1.37 crore puts as the base. PCR 0.7, the weekly straddle around 235 giving a range of around 270 points, 24,000 to 24,300, so we still trade the same zone. Front IV just below…
The Plan | Sell 77,500, Buy The Nifty Dip
Sensex first. 77,000 is the sustained side where we look at the bottom. The first real resistance is 77,500 with almost 28 lakh calls written, so we could see oscillation there, and selling 77,500 for today's expiry would be a good trade. On the bottom side, if 77,000 breaks, the first support is 76,800, unlikely but keep a watch. The straddle at 374 gives an opening range of almost 76,900 to 77,800, an 800 point width. Don't carry anything into the last window, the Sensex expiry moves drastically in the last few minutes. On the Nifty, the 170 point gap up opens into the fresh resistance zone …
Highlights
- Sensex expiry round four priced at about 10 percent IV vs 13 to 14 the last three rounds
- Sensex straddle 374 rupees 36 lakh calls pressed on the 77,000 strike
- Sensex closed 76,910 down 325 the first close below the 77,000 strike
- Max pain around 77,000 just 90 points above the spot
- 77,000 holds 25 lakh calls with 24 lakh added and 17 lakh puts sold same strike
- First real resistance 77,500 with around 28 lakh calls the magnet should shift there
- Sensex PCR 0.57 decisively call heavy negative gamma below 76,900 to 77,000
- Nifty closed 24,078 down 76 the seventh straight lower close low 24,025
- Almost 400 points down in seven sessions from 24,472 the 24,000 base held
- VIX 11.33 defence down 1.49 the defensive lean cracked IT the only green
- Another wild late print near 24,200 before settling 24,078 in the cash session
- Clients fifth record 7.13 lakh naked puts plus 2.73 lakh calls bought
- Pros bought back the entire 0.7 lakh call short a 1.05 lakh swing back to long vol
- FII futures short 2.10 lakh and call short 3.14 lakh both first time over the round number
- FII cash bought 408 crore DII bought 3,974 crore the biggest cheque in eight sessions
- Nifty max pain 24,250 to 24,300 sitting 150 to 170 points above the spot
- Roughly two crore calls added every round strike from 24,100 to 24,500 is sold
- 24,500 the last strike carries 1.49 crore calls support 24,000 with 1.37 crore puts
- Weekly straddle 235 range about 270 points PCR 0.7 front IV below 10
- Plan sell 77,500 into expiry Nifty reclaim 24,250 for a run at 24,300 then 24,500
- KOSPI up 6 percent fully rebounding gold record 4,528 USD INR record 95.76
Transcript Excerpt
A very good morning, guys, and today is the Sensex expiry. Last Thursday the auction moved the Sensex almost 300 points in the last two minutes. Everybody remembers it. So what does the market price for round four this morning? Around 10 percent IV, cheaper than the last three rounds of almost 13 to 14 percent IV. So the Sensex straddle is trading around 374 rupees for the day. 36 lakh calls are pressed on the 77,000 strike, 24 lakh of which were added yesterday itself. And the crowd, the clients, walk in short a fifth record put book of almost 7 lakh that they are carrying overnight. So this is the fireworks that are going to happen today. Expiry decides at 3:30, then the uncross decides after 3:26. This is The Tanmay Edge. You are listening to episode 107. I am Tanmay Kurtkoti. Let's go. So first, the Sensex closed yesterday at 76,910, just below that 77,000 strike, 325 points lower, 0.42 percent lower, the first close below that 77,000 strike that we saw. The expiry future remained at almost 77,081, basis points above that spot close. Max pain stands at around 77,000, 90 points above the spot. The fight, 77,000, is present with 25 lakh calls, 24 lakh calls got added over there yesterday itself, and we have around 17 lakh puts also sold in that same strike. The support, if we talk about the support, is at the current level of 76,900 to 77,000 where 19 lakh puts are present, of which almost 16 lakh got added yesterday itself. And then the bigger support is at 76,000, almost 19 lakh puts present over there, 11 lakh of which got added yesterday itself. And the resistance, the first actual resistance, stands at 77,500 where actually the magnet should shift in after the open, where around 28 lakh calls are present. The PCR, if we talk about it, is almost 0.57, so decisively call heavy. Gamma, the negative gamma is present below 76,900 to 77,000, and above 77,000 we would see the steam getting to the strike itself of 77,500. So this is indicative, not the close. Flat in…
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