Market Status

effective 2026-06-24 · built 2026-06-25 13:01 UTC
This is a market-state & engine-configuration view, not a direction prediction. It answers "what environment am I trading in, and how should I configure my options-selling book?" — it deliberately shows no Bull/Bear/Buy/Sell call from participant flow (our research found that has no next-day edge, RF-0431/0456). Every number is read from existing datasets; unbuilt metrics are marked experimental, never fabricated.
1Market StructureVIX regime · realized vol · compression
NIFTY
VIX regimeCALM
VIX close13.39
Realized vol (20d, ann)12.6%
ATR % (14)0.83%
Compression99
Vol stateCOILED
Vol accelerationRISING
BANKNIFTY
VIX regimeCALM
VIX close13.39
Realized vol (20d, ann)17.2%
ATR % (14)1.20%
Compression99
Vol stateCOILED
Vol accelerationRISING
2Participant Analyticscontext — how institutions behave, not a signal
CONTEXT ONLY — how institutions are behaving. NOT a buy/sell call (control-weighted direction has no next-day edge, RF-0431).
ParticipantControlHedgingNet leanStructure
CLIENT62LIGHTLONGBEARISH_SYNTHETIC
PRO51LIGHTLONGBULLISH_SYNTHETIC
DII46LIGHTSHORTNEUTRAL
FII26HEAVYLONGSHORT_VOL
Retail controlled (62 avg control, #1 on 5/10 days), net LONG.
3Options AnalyticsIV rank · skew/term · PCR · max-pain · OI walls
NIFTY
IV rank (252d / all)23 / 6
IV percentile (252d)62
IV regimeLOW LOW
Vol-crush phaseNOT_APPLICABLE
Skew / term / wingNORMAL · — · 0
PCR (raw / Δ)1.20 / 0.79
Near-ATM PCR (Δ)0.81
Max pain24000
OI walls (put / call)24000 / 25000
BANKNIFTY
IV rank (252d / all)23 / 6
IV percentile (252d)62
IV regimeLOW LOW
Vol-crush phaseNOT_APPLICABLE
Skew / term / wingCALL_HEAVY · — · 0
PCR (raw / Δ)1.10 / 0.51
Near-ATM PCR (Δ)0.58
Max pain57500
OI walls (put / call)54000 / 60000
4Mispricing & Operational RiskIV vs RV (real) · op-risk experimental
NIFTY
Implied vol (VIX, ann)13.4%
Realized vol (20d, ann)12.6%
IV − RV spread0.78
Implied 1d move±0.84%
Realized 1d move±0.79%
FAIR — IV ≈ RV
IV−RV is a real diagnostic, but rejected as a selling gate — a real-chain hold-to-expiry test (110 strangles) found gating on IV>RV reduced the book vs selling unconditionally (shuffle p=0.51, RF-0504). Read it as context, not a switch.
Expected adjustment load · delta drift · gamma stress — not yet measured (experimental)
BANKNIFTY
Implied vol (VIX, ann)13.4%
Realized vol (20d, ann)17.2%
IV − RV spread-3.86
Implied 1d move±0.84%
Realized 1d move±1.09%
PREMIUM CHEAP — RV > IV, short gamma dangerous
IV−RV is a real diagnostic, but rejected as a selling gate — a real-chain hold-to-expiry test (110 strangles) found gating on IV>RV reduced the book vs selling unconditionally (shuffle p=0.51, RF-0504). Read it as context, not a switch.
Expected adjustment load · delta drift · gamma stress — not yet measured (experimental)
5Engine Configurationstructure · size · monitoring — NOT a signal
NIFTY
Suggested structureNeutral — small defined-risk only
Position size100% of normal
Defined riskRecommended
MonitoringNormal
Selling favorabilityUNFAVORABLE
Allowed (IV-engine)ALL
BANKNIFTY
Suggested structureAvoid naked short gamma — defined-risk or stand aside
Position size100% of normal
Defined riskRecommended
MonitoringNormal
Selling favorabilityUNFAVORABLE
Allowed (IV-engine)ALL
RResearch Confidence validated vs experimental vs rejected — keeps the view honest
FeatureStatusConf.Why
Participant flow → next-day directionREJECTEDHighControl-weighted direction has no edge (RF-0431).
Positioning into expiry → outcomeREJECTEDHighPosture, not predictor; no setup beats chance in actual-greeks era (RF-0456).
Flow early-warning (DII-safeguard collapse)EXPERIMENTALLowDirectionally real but statistically unproven, p=0.24 n=44 (RF-0461/0467).
IV vs RV spread (measured diagnostic)REAL / DESCRIPTIVEMedPremium rich/cheap/fair is a real measured state. Stays a context read, not a control.
IV/RV as a selling GATE / allocation controlREJECTEDHighReal-chain hold-to-expiry test (110 strangles): gating on IV>RV REDUCED expectancy vs selling unconditionally (₹717 vs ₹1,075; OOS too); sweep non-monotonic; shuffle p=0.51. Stays descriptive (RF-0504).
Vol-state as a SIZING / risk-allocator overlayREJECTEDMedPre-registered sizing test (Return/ES95, no trade-skipping): every 0.5× haircut overlay was WORSE in-sample (Rule B/C turned the book negative); OOS gain flips opposite & is n=25. Sell 1.0× consistently (RF-0506).
Expected-range fence (VIX band + OI walls)DESCRIPTIVEMedWhere price likely stays; sell outside. Not a direction call (RF-0436).
Credit spread from verdict signalREJECTEDHighWing too costly, net negative (RF-0450).
Hard 30pt intraday stop (real ticks)VALIDATEDMedNet +Rs22k/27d; lowers WR via whipsaw but beats no-stop (RF-0451).
Gamma exposure / dealer positioningNOT AVAILABLE—NSE publishes no dealer data; cannot be computed honestly.
Operational risk (delta drift, gamma stress, adjustment load)NOT BUILT—Proposed (review Layer 3); not yet measured or validated — shown N/A, never fabricated.
MarketStatus.html · generated by tools/generate_market_status.py · sources: features.iv_rank_regime_index / vol_state_index / skew_signal_index / deoi_delta_pcr_index / deoi_max_pain_index / index_regime_features + participant control panel + expected-range walls. Descriptive only — not a trade signal; you decide the trade.