Methodology: How the MTF Pages Are Built

Source

Exchange data. History starts on 22 Jun 2017 for NSE and on 1 Oct 2025 for BSE, the first day from which BSE's figures run without gaps.

Combining NSE and BSE

A security listed on both exchanges is one row: BSE's per-security figures are matched to NSE by ISIN. The combined book is NSE plus BSE. On a day BSE has not published, its last figure is carried forward for at most five sessions. Ratios that need shares and prices (holders' position, % of shares, days to cover) use NSE's shares financed and NSE's closing price.

Definitions

MTF book (amount financed)

The exchange-reported total value of open MTF positions. It is not marked to market: each day's closing book equals the opening book plus fresh exposure minus exposure liquidated.

Net flow

Fresh exposure minus exposure liquidated, for the market. For a single stock, the change in its book.

Average financed value per share

Amount financed ÷ shares financed: approximately the average price margin holders paid.

Holders vs cost

Shares financed × closing price, against the amount financed, minus 1. Positive: financed shares are worth more than they were financed for. Market-wide, it is computed over every funded stock with a closing price.

Net new margin buying (price-neutral)

Each day's change in shares financed × that day's close, summed. Split and bonus credits are removed.

% of shares on margin

Shares financed ÷ shares outstanding.

% of free float on margin

% of shares on margin ÷ free float, where free float is the share of the company outside the promoter group (and government where it is the promoter), from the latest shareholding pattern.

Days to cover

Shares financed ÷ average daily NSE traded volume over 30 sessions.

Days of turnover

MTF book ÷ cash-market traded value (for the market: the whole NSE equity segment that day).

Fresh intensity, footprint, balance

NSE fresh exposure, fresh + liquidated, and fresh − liquidated, each ÷ NSE cash turnover that day.

Churn

(Fresh + liquidated) ÷ the opening book.

Exchange margin

The applicable margin rate (VaR + extreme-loss margin + any additional margin) the clearing corporation sets for the security.

Margin-call zone

Stocks where holders vs cost is below minus the exchange margin: a buyer at full leverage would have used up the margin they started with.

Crowding (squeeze) score

Average percentile rank of % of free float on margin and days to cover, among stocks with at least ₹2 crore financed.

Public-crowding fragility

Average percentile rank of public (non-institutional, non-promoter) ownership, MTF market value as a share of that public holding, and days to cover.

Leverage stress index

Five drivers, each expressed as the percentile of its value among all sessions up to that day: share of the book liquidated (5-session average), net deleveraging (liquidated − fresh, % of book, 5 sessions), drawdown of the book from its peak, share of funded stocks whose book fell (5-session average), and holders' loss. The index is their average. Calm < 50, Elevated 50–75, High 75–90, Extreme 90+.

Margin flush

A session when the share of the book liquidated is in the top 2% of all sessions up to that day and the book shrank.

Unusual activity (surprise)

The day's change in a stock's book ÷ the standard deviation of its daily changes over the previous 60 sessions.

Size tiers

Stocks ranked each day by full market cap: top 100 large, next 150 mid, next 250 small, the rest micro. ETFs separate.

F&O / cash-only / ETF

Whether the stock had stock futures at the time, and whether it is an exchange-traded fund.

Sectors

The exchanges' four-level industry classification (macro sector, sector, industry, basic industry), today's labels applied to all history.

Splits, bonuses and symbol changes

When a stock goes ex-split or ex-bonus the exchange re-bases its previous close; that ratio is used to back-adjust prices for returns and 52-week ranges. Brokers often credit the new shares days later, so a jump in shares financed that matches the ratio within 30 sessions of the ex-date is treated as the credit, not as buying. When a company changes its NSE symbol, its history moves to the new symbol.

Revised and incomplete files

When an exchange later revises a day's disclosure to include late broker submissions, the revised figures replace the first ones. A day whose whole book sits at a shifted level (a gap into it that the next day reverses) is treated as an incomplete file and left out of daily series. Days left out: 2017-08-16, 2017-08-17, 2017-08-30, 2017-09-06, 2017-09-20, 2017-09-28, 2017-10-13, 2018-01-03, 2021-01-15, 2021-11-23, 2021-12-01, 2022-02-03, 2022-02-04, 2022-02-16, 2022-02-21, 2022-02-22, 2022-02-25, 2022-03-25, 2022-05-12, 2022-06-21, 2022-07-08, 2022-07-26, 2022-08-04, 2022-08-22, 2022-10-27, 2022-11-03, 2022-11-09, 2022-11-15, 2022-11-18, 2022-12-07, 2022-12-20, 2023-01-05, 2023-01-20, 2023-02-02, 2023-06-20, 2023-06-21, 2023-06-22, 2023-09-08, 2024-03-22, 2025-02-07, 2026-04-29.

Data checks

10 of 10 automated checks passed on the latest build (2026-10-26 20:38 IST):

• ✓ NSE rows add up to the reported book · 2,235 of 2,235 days within ₹1 crore
• ✓ Each NSE day opens where the previous session closed · 1 opening gap(s) over 0.5% in the last 250 sessions; 26 since 2017
• ✓ Opening + fresh − liquidated = closing (NSE) · 2,235 of 2,235 days balance
• ✓ BSE rows add up to the reported book · 265 of 269 days within ₹1 crore
• ✓ Closing prices found for the financed stocks · 100.0% of the latest book priced
• ✓ Every recent session has a bhavcopy · all of the last 30 sessions
• ✓ Every recent session has a usable MTF disclosure · all of the last 30 sessions
• ✓ Latest disclosure is recent · latest session 2026-10-22
• ✓ No negative quantities or amounts · 0 negative cells
• ✓ Security count in a normal range · 2,197 NSE securities with a book

What is not here, and why

Broker-by-broker MTF books, how brokers fund themselves, and comparisons with other countries are not part of the exchanges' disclosures, so they are not shown.