Market regulator Securities and Exchange Board of India (SEBI) on Thursday issued final framework on Closing Auction Session (CAS). SEBI has retained the 30-minute volume-weighted average price (VWAP) methodology for determining expiry-day settlement prices of index and stock derivatives, while revising the timings and operational framework of the CAS in the equity cash market. Moneycontrol had exclusively reported that SEBI's key panel on seconadary market has approved the proposal.
Under the revised framework, the CAS will operate from 3:30 pm to 3:40 pm on all trading days. The changes will take effect from December 7, 2026, except for provisions governing the transition of unexecuted limit and iceberg orders from the continuous trading session, which will come into effect on February 8, 2027.
The session will begin with a one-minute reference-price calculation and transition period from 3:30 pm to 3:31 pm. Both limit and market orders will be permitted from 3:31 pm to 3:36 pm. Thereafter, only limit orders will be allowed, while market orders cannot be modified or cancelled. The session will close randomly between 3:38 pm and 3:40 pm, followed by order matching.
The CAS reference price will be based on the VWAP of trades during the last 15 minutes of the continuous trading session. If no trade occurs during that period, the day's last traded price will apply; if the security has not traded during the day, the previous day's closing price, adjusted for corporate actions where applicable, will be used.
Trading in index derivatives will continue until 3:45 pm on normal trading days, but expiring index derivatives contracts will stop trading at 3:30 pm on expiry days. Stock derivatives will trade until 3:45 pm, including on expiry days. The cash market's post-close session will run from 3:50 pm to 4 pm, with trades executed at closing prices.