The Securities and Exchange Board of India (SEBI) has revised the framework for the Closing Auction Session (CAS), changing how closing prices are determined and setting specific trading cut-off times for cash-market securities and derivatives.
Most of the changes will come into effect on December 7, 2026. Under the revised framework, the closing auction will run from 3:30 PM to 3:40 PM, with the reference price based on the volume-weighted average price (VWAP) of trades executed during the final 15 minutes of continuous trading in the cash market.
The changes also introduce a system-driven auction closure, clarify the rules for orders placed during the session, and revise certain provisions for derivatives trading.
What Is Changing in the Closing Auction Session?
The closing auction will begin at 3:30 PM and run for 10 minutes. However, the order-entry window will close at a randomly determined time between 3:38 PM and 3:40 PM.
The closure will be system-driven. Once order entry ends, stock exchanges will match orders under the closing auction framework and publish the closing price and executed quantity as soon as practicable.
The reference price will be calculated using the VWAP of trades executed during the last 15 minutes of the continuous trading session. This will serve as the basis for determining the closing auction price.
If a security has no trades during this period, its last traded price for the day will be used. If it has not traded during the day, the previous trading day's closing price will be considered. In cases involving corporate actions, the previous day's adjusted closing price or base price will be used.
What Are the Revised Trading Timings for Derivatives?
SEBI has also specified separate trading cut-off times for index and stock derivatives.
Under the revised framework:
- Index derivatives: Contracts will continue to trade until 3:45 PM on regular trading days. On expiry days, expiring index derivatives contracts will stop trading at 3:30 PM.
- Stock derivatives: Contracts will continue to trade until 3:45 PM on all trading days, including expiry days.
For stock futures, the applicable price band between 3:30 PM and 3:45 PM will be aligned with the price band used during the closing auction. The existing mechanism for dynamically adjusting price bands will not apply during this period, although it will continue to operate during the applicable part of the continuous trading session.
How Will the Post-Close Session Work?
The post-close session in the cash market will run from 3:50 PM to 4:00 PM. Trades executed during this period will take place at the respective securities' closing prices.
SEBI has also outlined the procedure for special trading sessions. Securities covered by the auction framework will have their closing prices determined through CAS. The auction will last 10 minutes, and the derivatives segment will close five minutes after the auction ends. A 10-minute post-close session will then begin five minutes after the derivatives segment closes.
Which Orders Will Be Allowed During CAS?
The revised framework permits only market and limit orders during the closing auction session. Both types of orders will be considered when calculating the equilibrium price, which is the price at which eligible buy and sell orders can be matched.
New iceberg orders will not be permitted during CAS. Existing eligible pending iceberg orders will be converted into fully disclosed limit orders, making their full quantity visible. Stop-loss orders will also not be allowed during the auction.
How Will Derivatives Settlement Prices Be Calculated?
SEBI has specified separate methods for determining settlement prices for index and stock derivatives.
For index derivatives, the expiry settlement price will be based on the VWAPs of the constituent stocks during the continuous trading session. For stock derivatives, settlement will be based on the underlying stock's VWAP across exchanges.
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