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VIX 27 environments break VWAP execution mechanically.
March 23 printed 800-plus point intraday Nifty swings inside a single session. Any VWAP execution that front-loaded morning volume sold at the worst prices of the day.
TWAP time-distributes orders across the session. In a 27 VIX regime, VWAP captures the volume-weighted mean, which in panic sessions is the morning capitulation print. TWAP averages across both panic and recovery.
The SEBI intraday borrowing framework goes live April 1, 2026, and reshapes how mutual funds manage redemption mismatches.
The full liquidation protocol with DII counter-party absorption logic and the 22,500 vs 22,000 execution anchor are in the note.
May 14
at
3:31 PM