The Closing Auction Session (CAS) has been in the spotlight since it went live. Now, SEBI has released a consultation paper seeking feedback on how the session works and what could be changed going forward.
The paper looks at five areas, from how F&O expiry prices are settled to market timings, indicative index values, spoofing, and iceberg orders.
Market participants have until October 3, 2026, to send in their suggestions.
Here’s what SEBI is proposing.
1. How should F&O expiry prices be calculated?
One of the biggest questions is what role CAS trades should play in determining the settlement price of F&O contracts.
SEBI has put forward two options.
Option 1: Use a blended VWAP
The settlement price would combine:
30 minutes of regular cash-market trading 10 minutes of CAS The weight given to each period would depend on the actual trading volume during that period.
**Option 2: Continue with the existing approach for now ** Use only the last 30 minutes of continuous cash-market trading. CAS trades would have no role in expiry settlement. After a year, SEBI could review whether to move to the blended VWAP approach.
The question is: Should CAS become part of the expiry settlement calculation, or should its impact be kept out for now?
2. Should market timings change?
SEBI has proposed two possible timing structures.
Option 1
- CAS-eligible stocks continue regular trading until 3:30 PM
- CAS runs roughly from 3:31 PM to 3:40 PM
- F&O trading continues until 3:45 PM
**Option 2 **
- CAS-eligible stocks continue regular trading until 3:15 PM
- CAS runs roughly from 3:15 PM to 3:25 PM
- F&O closes at 3:30 PM
- Stocks outside CAS continue normal trading until 3:30 PM
So, the debate here is about where CAS should sit within the trading day, and whether F&O timings should move along with it.
3. No live indicative index values during CAS
SEBI has also proposed stopping the display of the live indicative index value during CAS.
Individual stocks could still display their indicative prices.
The idea is to prevent the indicative index value from becoming an additional signal that could influence trading behaviour during the auction.
4. Tighter rules against spoofing
SEBI has proposed changes to deal with potentially misleading orders during CAS. The overall CAS price band would remain at ±3%.
Within that band:
Orders placed within **±1% of the reference price **could be cancelled. Orders placed more than 1% away from the reference price could not be cancelled.
The proposal is aimed at reducing the scope for orders to be placed and cancelled in a way that could influence the auction price.
5. Iceberg orders could move into CAS
SEBI has also proposed bringing Iceberg orders into CAS. If an Iceberg order remains unexecuted at the end of regular trading, the unexecuted portion could move into the auction. However, once it enters CAS, it would become a normal limit order rather than retaining its iceberg characteristics.
What happens next?
SEBI is now seeking feedback from market participants on these proposals. The deadline for submitting comments is October 3, 2026. For traders and investors, the changes could matter beyond just the final few minutes of the trading day. They could affect expiry settlement, market timings, order behaviour, and how prices are formed during CAS.
The consultation is now open. The next step is to see which of these proposals make it through after industry feedback.
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