SEBI revises closing auction timings and derivatives expiry settlement
Key points
- SEBI has set the Closing Auction Session at 3:30 to 3:40 p.m. and moved expiry-day derivatives settlement to a 30-minute VWAP.
- Stock exchanges, clearing corporations, brokers and anyone trading shares near the close or holding derivatives to expiry are affected.
- Most changes apply from 7 December 2026; rules on carrying forward unexecuted orders into the auction apply from 8 February 2027.
The Securities and Exchange Board of India (SEBI) has changed how the Closing Auction Session (CAS) in the equity cash segment works, along with closing-time market hours and the way expiry-day settlement prices of stock and index derivatives are set. The changes, in a circular dated 15 October 2026 addressed to stock exchanges and clearing corporations, take effect from 7 December 2026, with the rules on carrying forward unexecuted orders following from 8 February 2027.
SEBI introduced CAS through a circular dated 16 January 2026 to improve discovery of closing prices. It reviewed the framework through a consultation paper dated 12 September 2026. After public comments, recommendations of its Secondary Market Advisory Committee and discussions with exchanges, it has modified the January circular and Chapter 5 of the Master Circular for Stock Exchanges and Clearing Corporations dated 30 December 2024.
What has changed
CAS will run as a separate 10-minute session from 3:30 p.m. to 3:40 p.m. on all trading days:
| Start time | Duration | Session |
|---|---|---|
| 3:30 p.m. | 1 minute | Reference price calculation and transition from the Continuous Trading Session (CTS) to CAS |
| 3:31 p.m. | 5 minutes | Order entry for both limit and market orders |
| 3:36 p.m. | 4 minutes | Order entry for limit orders only, with no modification or cancellation of market orders; random close in the last 2 minutes |
- Random close: order entry will close at a system-driven random time between 3:38 p.m. and 3:40 p.m.
- Reference price: the volume weighted average price (VWAP) of trades in the last 15 minutes of CTS. If there is no trade in that window, the day’s last traded price is used, and if there is no trade in the day, the previous day’s closing price.
- Derivatives trading hours: index and stock derivatives will trade until 3:45 p.m. On expiry days, trading in expiring index derivatives will stop at 3:30 p.m., while stock derivatives continue until 3:45 p.m.
- Post-close session: the cash segment post-close session will run from 3:50 p.m. to 4:00 p.m., with trades at the closing price.
- Orders in CAS: only limit and market orders are allowed. New iceberg orders and stop-loss orders cannot be placed during CAS. Orders are subject to order-level margin, except limit and iceberg orders carried over from CTS that are not modified.
- Carried-forward orders: unexecuted limit orders at the end of CTS move into CAS, except stop-loss orders and orders priced outside the CAS price band. Unexecuted iceberg orders within the band move in as fully disclosed limit orders unless the participant opted out when placing the original order. They get lower time priority than other carried-forward limit orders, and all carried-forward orders rank ahead of orders placed during CAS.
- Expiry-day settlement prices: expiring index derivatives will be settled on the value of the underlying index calculated using the VWAP of its constituent stocks during the last 30 minutes of CTS. Expiring stock derivatives will be settled on the VWAP of the underlying stock in the last 30 minutes of CTS across all stock exchanges. Exchanges must compute and disseminate indicative values in real time during that window.
Under the January 2026 circular, expiry-day settlement prices were based on closing prices determined in CAS. The new circular does not restate the earlier CAS timings it replaces.
Who is affected
The circular is addressed to all recognised stock exchanges and clearing corporations. They must jointly update their standard operating procedures within 7 days, in consultation with SEBI, and amend their bye-laws, rules and regulations as needed. In practice, the changes also reach brokers, derivatives traders, and investors or companies that place orders near the market close.
What this means for businesses
For most founders and finance teams the impact is indirect. Treasury teams or promoters who buy or sell listed shares near the close should note that the closing price will be discovered in a fixed auction window that ends at a random time, and that stop-loss and new iceberg orders cannot be placed in that window. Businesses holding stock or index derivatives to expiry should note that final settlement will be based on a 30-minute VWAP rather than the auction closing price. Brokers will need to update systems and client communication. Those with significant market exposure may wish to discuss the changes with their broker or adviser.
Key dates
- Within 7 days of 15 October 2026: exchanges and clearing corporations to modify their SOPs in consultation with SEBI.
- 7 December 2026: all changes other than those on carrying forward unexecuted limit and iceberg orders take effect.
- 8 February 2027: rules on carrying forward unexecuted limit and iceberg orders from CTS to CAS take effect.
This update was written with AI from the official source above and automatically fact-checked against it before publishing. It is general information, not professional advice. Check the source, or talk to a Chartered Accountant, before acting on it.