Weeks after the Closing Auction Session (CAS) began on August 3, SEBI revised the framework following feedback on using CAS-derived closing prices to settle expiring derivatives.

Under the August regime, continuous cash trading in F&O stocks ended at 3:15 pm. CAS ran until 3:35 pm and derivatives until 3:40 pm. CAS-derived stock and index closes determined expiry settlement.

From December 7, 2026, that linkage will be broken. Expiring stock derivatives will settle at the stock’s VWAP (Volume Weighted Average Price) (across exchanges) over the final 30 minutes of continuous trading. Expiring index derivatives will use index values calculated from constituents’ 30-minute VWAPs. Exchanges must publish real-time indicative VWAPs and index values throughout this window.

A 30-minute reference is less vulnerable to a late order imbalance than one auction print and should reduce expiry-day basis risk. It also reduces the chance option pay-off resetting due to cash-auction flows. These can be better for traders.

Continuous cash trading will run until 3:30 pm. But CAS will shrink to 10 minutes, from 3:30 pm to 3:40 pm, with order entry closing randomly after 3:38 pm. Index and stock derivatives will trade until 3:45 pm. However, expiring index contracts will stop at 3:30 pm and stock derivatives will continue until 3:45 pm even on expiry. That leaves expiring stock derivatives trading for 15 minutes after their settlement-price measurement window has closed.

Stock futures bands between 3:30 pm and 3:45 pm will track the CAS band, with dynamic flexing suspended in this window but retained during continuous trading. Dynamic flexing means automatic widening of price band when prescribed thresholds are met.

From February 8, 2027, eligible iceberg orders left from continuous trading will enter CAS as fully disclosed limits unless traders opt out. An iceberg order is a large trade that is split into small orders and only a small portion is revealed at a time.

Overall, CAS will remain as the mechanism for the official cash close. But the revision now clearly separates that closing-price auction from derivatives expiry settlement.

Published on October 17, 2026