The Securities and Exchange Board of India (SEBI) has revised the framework for the closing auction session (CAS) in the equity cash market, changing session timings, the treatment of unexecuted orders and the methodology used to calculate settlement prices for stock and index derivatives.
Under the revised framework, the 10-minute closing auction session will run from 3:30 pm to 3:40 pm on trading days. Most changes will take effect from December 7, 2026, while rules governing the transition of unexecuted limit and iceberg orders into the closing auction session will come into force from February 8, 2027.
The changes follow a review by SEBI after it sought public comments on the functioning of the closing auction session, market timings and derivatives settlement methodology in a consultation paper issued on September 12, 2026.
How the closing auction session will work
The closing auction session will have three stages. The first minute, from 3:30 pm, will be used to calculate the reference price and transition orders from the continuous trading session. From 3:31 pm, market and limit orders can be entered for five minutes. From 3:36 pm, only limit orders will be permitted for four minutes, with the session closing at a random time between 3:38 pm and 3:40 pm.
The random closure will be system-driven. Once order entry ends, exchanges will match orders under the closing auction framework and disseminate the closing price and traded quantity as soon as practicable.
The reference price for a security will be based on the volume-weighted average price (VWAP) of trades during the last 15 minutes of the continuous trading session. If no trade takes place during that period, the day’s last traded price will be used. If the security has not traded during the day, the previous session’s closing price will serve as the reference price, adjusted for any applicable corporate action.
Derivatives trading and settlement changes
Trading in index derivatives will continue until 3:45 pm on regular trading days. On expiry days, however, trading in expiring index derivatives contracts will stop at 3:30 pm. Stock derivatives will continue to trade until 3:45 pm, including on expiry days.
The post-close session in the cash market will run from 3:50 pm to 4 pm, with trades executed at the closing price of the securities.
Also Read: SEBI panel favours retaining 30-minute VWAP for derivatives expiry settlement for a year
SEBI has also revised how settlement prices are determined on expiry days. For index derivatives, the settlement price will be based on the value of the underlying index, calculated using the VWAP of constituent stocks during the last 30 minutes of the continuous trading session.
For stock derivatives, clearing corporations will use the VWAP of the underlying stock over the last 30 minutes of the continuous trading session across all stock exchanges. Exchanges will provide the relevant VWAP and traded quantity to clearing corporations and disseminate indicative values in real time during the period.
Rules for unexecuted orders
Unexecuted limit orders pending at the end of the continuous trading session will generally be carried into the closing auction session, except stop-loss orders and orders priced outside the applicable auction-session price bands.
Unexecuted iceberg orders within the applicable price bands will be converted into fully disclosed limit orders when carried forward, unless the market participant opted out of the transition when placing the original order. Iceberg orders split a large order into smaller visible quantities.
These converted orders will have lower time priority than other limit orders carried over from the continuous trading session. However, orders carried over from the continuous session will have higher time priority than limit orders placed during the closing auction session. Modifying a carried-over order will change its time priority.
Only market and limit orders will be permitted during the closing auction session. New iceberg and stop-loss orders will not be allowed, and orders placed during the session will be subject to applicable margin requirements at the order level, except for eligible orders carried over from the continuous trading session. Such carried-over orders will attract the margin requirement if modified during the auction session.
Stock exchanges and clearing corporations have been directed to amend their operating procedures in consultation with SEBI within seven days of the circular.