Shares of the National Stock Exchange of India Ltd. (NSE), Bombay Stock Exchange Ltd. (BSE), Angel One Ltd., and other broking firms and capital market stocks saw a mixed reaction on Friday, October 16, to the circular issued by market regulator Securities and Exchange Board of India (SEBI) with regards to the Closing Auction Session (CAS). The circular was released late Thursday evening.
Shares of BSE are trading 0.8% lower on Friday, while those of Angel One, opened 2% higher but gave up those gains soon after. Shares of Billionbrains Garage Ventures, parent company of the trading platform Groww, are the ones holding up with gains of 2.5%.
According to the new circular, SEBI reviewed the CAS framework introduced in January this year and has introduced the modifications to the same after detailed consultations with stakeholders, where it said, its consultation paper received over 20,000 comments.
As per the new SEBI circular, the index derivatives expiry settlement price will be determined based on the underlying index calculated using the Volume Weighted Average Price (VWAP) of the constituents during the last 30 minutes of the Continuous Trading Session (CTS). This is different from the CAS methodology, which sought to base expiry settlements based on CAS closing prices.
The same will be applicable to a stock derivative contract on its expiry day as well, and will be applicable across all stock exchanges.
Those iceberg orders, which are unexecuted at the end of the Continuous Trading Session are carried forward to CAS as fully disclosed limit orders unless canceled, according to the new circular. While such orders will receive lower time priority than the normal limit orders from the CTS, but higher than new orders placed during CAS.
CAS will now function as a 10-minute session from 3:30 to 3:40 PM, where the reference price will be determined and transition will be done between 3:30 PM to 3:31 PM, limit and market orders can be placed between 3:31 PM to 3:36 PM, while only limit orders can be placed between 3:36 PM to 3:40 PM and closing taking place between 3:38 PM to 3:40 PM.
The reference price for CAS will be determined based on the Volume Weighted Average price during the last 15 minutes of the Continuous Trading Session. The limit and iceberg orders carried over from CTS to CAS are exempt from immediate order-level margin requirements unless modified during the CAS, according to the circular.
While most provisions take effect from December 7, 2026, the unexecuted iceberg order transition rules will take effect from February 8, 2027. An iceberg order technically means one that is split into small, sequential limit orders in order to hide the true order size from the public order book.
Shares of BSE ended 2.7% higher on Thursday at ₹3,428. The stock is up 6% in the last one month, and is up 30% so far this year. Shares of the National Stock Exchange ended 0.6% higher on Thursday at ₹1,773.85. Shares of Angel One, which will also be reacting to their quarterly results today, ended 2.2% higher at ₹313, while those of Motilal Oswal Financial Services also ended higher by a similar quantum at ₹1,062.95.