The Securities and Exchange Board of India’s (Sebi’s) decision to revise its closing auction session (CAS) framework has raised hopes of a recovery in derivatives trading and brokerage revenues, offering relief to brokers suffering from a sharp slowdown in key income streams.
“The pre-CAS levels on volumes and revenue seen in Q1 FY27 will be a good indicator of where we are headed once the circular comes into action. However, one may not be able to replicate revenues from earlier since broader market factors also have an effect,” a broking official told Mint on the condition of anonymity.
Introduced on 3 August, CAS determined closing prices for 213 F&O-traded stocks through an auction that established a single equilibrium closing price, replacing the final volume-weighted average price (VWAP).
However, the framework caused abrupt price swings and uncertainty over settlement values on expiry days, prompting market participants to flag concerns about liquidity and price discovery. In response, Sebi changed course on 15 October, restoring the 30-minute VWAP for settling derivatives contracts on expiry days. The changes will take effect on 7 December.
The auction mechanism had quickly lost favour among traders. From 3 August to 30 September, volumes in the closing auction session fell 84% to 4.2 million contracts, while traded value fell 77% to ₹297.72 crore, according to NSE data.