{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,10,30]],"date-time":"2026-10-30T04:31:27Z","timestamp":1793334687430,"version":"4.5.0"},"posted":{"date-parts":[[2026]]},"group-title":"SSRN","reference-count":0,"publisher":"Elsevier BV","license":[{"start":{"date-parts":[[2026,1,1]],"date-time":"2026-01-01T00:00:00Z","timestamp":1767225600000},"content-version":"unspecified","delay-in-days":0,"URL":"https:\/\/creativecommons.org\/licenses\/by-nc-nd\/4.0\/"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":[],"abstract":"<jats:p>I study whether a market maker quoting NIFTY and BANKNIFTY options (weekly and monthly expiries respectively) from a cloud server and a retail broker feed can survive informed order flow. Using my own five-level order book logs for 36 options per index (September 16 to October 23, 2026) and a replay with a queue model and NSE member costs, a quoter that joins the best bid and ask earns about Rs 12 (NIFTY) and Rs 23 (BANKNIFTY) of spread per lot per fill, pays about Rs 11 and Rs 18 in costs, and then loses Rs 32 and Rs 43 to the price move against it, nearly all of it within one second. In an oracle counterfactual that decides with the book of the same second, which no real system can do, the loss almost disappears: under the replay assumptions, timing accounts for most of the loss. Two signals predict bad fills: how far the index has moved since an option's quote last changed, and the probability of a stressed regime from a hidden Markov model trained on a year of earlier data. A strategy that pulls the threatened side and widens in stress was frozen before any test data were seen. On each of the complete test sessions so far, only four for NIFTY and three for BANKNIFTY, it lost less than the plain quoter: 46% less on NIFTY and 24% less on BANKNIFTY, in line with the development estimates of 40% and 20%. It still loses money, the evidence is too short to be statistically conclusive (sign test p = 0.06 and 0.125), and half of its NIFTY benefit disappears if its rules react one second late. The remaining losses come mostly from index jumps that reprice options within the same second. A follow-up rule that pulls all quotes after such jumps is pre-registered, with a placebo control, for evaluation on future sessions only.<\/jats:p>","DOI":"10.2139\/ssrn.7667778","type":"posted-content","created":{"date-parts":[[2026,10,30]],"date-time":"2026-10-30T03:48:50Z","timestamp":1793332130000},"source":"Crossref","is-referenced-by-count":0,"title":["Picked Off in One Second: Adverse Selection and Out-of-Sample Defences for an NSE Index Options Market Maker"],"prefix":"10.2139","author":[{"ORCID":"https:\/\/orcid.org\/0009-0007-9020-7273","authenticated-orcid":true,"given":"Kethan","family":"S E","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"78","container-title":[],"original-title":[],"deposited":{"date-parts":[[2026,10,30]],"date-time":"2026-10-30T03:48:50Z","timestamp":1793332130000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.ssrn.com\/abstract=7667778"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2026]]},"references-count":0,"URL":"https:\/\/doi.org\/10.2139\/ssrn.7667778","relation":{},"subject":[],"published":{"date-parts":[[2026]]},"subtype":"preprint"}}