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
Summary
Tanmay analyzes the NSE auction's failure on rebalance day, revealing it is 4x worse than normal due to depth issues rather than design flaws. He details Nifty's 141-point drop despite record institutional buying, highlighting a divergence where foreigners bought cash but shorted index futures. With Sensex expiring today, he advises traders to avoid chasing the gap-up open, instead waiting for confirmation at key support levels before entering positions.
Topics discussed
Sponsor: Just Food For Dogs
Review of closing auction mispricing and correlation
Impact of MSCI rebalance on auction performance
Analysis of price deviation on rebalance vs normal days
Conclusion: Auction depth issues vs design flaws
Index closing prints and indicative price decay
Nifty and Sensex daily performance and key levels
Sector performance: Autos, Banks, and breadth
Options data: Calls, Puts, and Max Pain levels
Support and resistance levels from options flow
Gamma flips and futures basis analysis
Institutional positioning: FII and DII activity
Divergence between cash buying and index selling
Global markets: Asia, US, Gold, and Bonds
India bond yields and macroeconomic context
Episode 116 review and upcoming rebalance
Trading strategy: Holding 24000 and max pain magnet
Setup analysis: Gamma flip and put support
Sensex expiry strategy and final advice
Outro and call to action
Sponsor: Just Food For Dogs
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