The Securities and Exchange Board of India (SEBI) has issued a framework to introduce a Closing Auction Session (CAS) in the equity cash segment, shifting the closing price determination for stocks with listed derivatives from the current last-30-minutes VWAP approach to an auction-based close. The move is being rolled out in phases, with non-derivatives stocks continuing to use VWAP of trades executed during the last 30 minutes of the continuous trading session. CAS will run as a 20-minute standalone session from 3:15 p.m. to 3:35 p.m., with a system-driven random close of the order entry window between 3:28 p.m. and 3:30 p.m.; the equity derivatives segment will continue trading until 3:40 p.m., followed by a post-close cash session from 3:50 p.m. to 4:00 p.m. where trades execute at the closing price. The reference price for CAS will be based on VWAP from 3:00 p.m. to 3:15 p.m., with fallbacks to last traded price or the prior day’s closing price, and a CAS price band of plus or minus 3 percent around the reference price. Only limit and market orders will be allowed, with iceberg and stop-loss orders prohibited; market orders receive execution priority, and unexecuted limit orders from continuous trading will be carried into CAS subject to exclusions. SEBI also aligned the pre-open auction session to a similar structure, including random close, order-type restrictions, market-order priority, and enhanced dissemination of indicative auction information. Related changes include alignment of stock futures price bands with CAS during 3:15 p.m. to 3:40 p.m., adjustments to how clearing corporations compute settlement prices for stock and index derivatives, and requirements for exchanges to enhance surveillance around CAS and the reference-price window. The CAS framework will apply from August 03, 2026, while the revised pre-open auction framework will apply from September 07, 2026. Stock exchanges and clearing corporations must jointly finalise, in consultation with SEBI, standard operating procedures on futures price-band alignment and derivatives settlement price determination within 30 days, and implement necessary rulebook changes, operational guidelines, and systems updates.
Securities & Exchange Board of India 2026-01-16
Securities and Exchange Board of India introduces a closing auction session to set equity cash closing prices for derivatives-eligible stocks from August 2026 and revises the pre-open auction framework
SEBI has introduced a phased framework for a Closing Auction Session (CAS) in the equity cash segment, transitioning from a last-30-minutes VWAP to an auction-based close for stocks with listed derivatives, effective August 3, 2026. The CAS will operate as a 20-minute session with specific order restrictions and price bands, while related changes include adjustments to stock futures price bands and enhanced surveillance requirements.