SEBI Proposes Changes to Closing Auction Session
The Securities and Exchange Board of India has proposed changes to the newly introduced Closing Auction Session, including alternative methods for settling derivatives contracts on expiry days and shorter transition periods between regular trading and the closing auction.
SEBI Proposes New Derivatives Settlement Methods
Under the first option, the settlement price for expiring futures and options would be calculated using a blended volume-weighted average price based on the final 30 minutes of continuous trading and the 10-minute Closing Auction Session.
A second option would temporarily use only the volume-weighted average price from the final 30 minutes of continuous trading.
The proposed methodology would apply to both stock and index derivatives and follows concerns over sharp price movements during expiry-day closing auctions.
Closing Auction Timings Could Be Changed
SEBI has also proposed two alternative market schedules.
One option would extend continuous trading in CAS stocks until 3.30 pm, conduct the auction between 3.31 pm and 3.40 pm and allow derivatives trading until 3.45 pm.
The second would retain the 3.15 pm close for continuous trading, complete the auction by 3.25 pm and close derivatives trading at 3.30 pm.
The transition period between continuous trading and CAS could also be reduced from five minutes to approximately one minute.
SEBI Reviews Indicative Prices After Volatility
SEBI has proposed discontinuing the indicative index value displayed during CAS because it could be mistaken for an actual index level despite being based on unexecuted orders. Security-level indicative equilibrium prices would continue.
The existing 3% price band during CAS would remain unchanged.
The regulator introduced CAS for derivatives-linked stocks on August 3, 2026. Public comments on the latest proposals are invited until October 3 before the framework is finalised.
