The Securities and Exchange Board of India on Thursday issued its final framework for the Closing Auction Session, revising the SEBI CAS timings and operational rules for the equity cash market after a review that followed sharp price swings on expiry days. Under the new framework, the SEBI CAS will run from 3.30 pm to 3.40 pm on all trading days, with most provisions taking effect from December 7, 2026, the market regulator said in a circular issued on Wednesday. The review follows concerns over sharp price movements during the 10-minute closing auction, particularly on expiry days, since its implementation on August 3 for stocks in the futures and options segment.
SEBI CAS timings: how the new 10-minute window works
The session will begin with a one-minute reference-price calculation and transition period from 3.30 pm to 3.31 pm, during which orders move from continuous trading into the auction. Both limit and market orders will be permitted from 3.31 pm to 3.36 pm. Thereafter, only limit orders will be allowed, while market orders cannot be modified or cancelled. The SEBI CAS session will close randomly between 3.38 pm and 3.40 pm, followed by order matching, a design aimed at discouraging algorithmic gaming and last-second order spoofing.
The reference price for the SEBI CAS will be based on the volume-weighted average price of trades during the last 15 minutes of the continuous trading session. If no trade occurs during that period, the day’s last traded price will apply; if the security has not traded during the day, the previous day’s closing price, adjusted for corporate actions where applicable, will be used. Traders say the randomised close is specifically intended to make it harder for algorithms to game the final seconds of the session, a persistent complaint among institutional desks. The cash market’s post-close session will run from 3.50 pm to 4 pm, with trades executed at the day’s established closing price.
SEBI CAS and expiry-day settlement: 30-minute VWAP stays
Crucially, the regulator retained the 30-minute volume-weighted average price methodology for determining expiry-day settlement prices of index and stock derivatives, rejecting a blended alternative. The settlement price of expiring index derivatives will be based on the value of the underlying index calculated using the VWAP of constituent securities during the last 30 minutes of the continuous trading session. The decision followed a meeting of SEBI’s Secondary Market Advisory Committee earlier on Wednesday, which considered the September 12 consultation paper on the SEBI CAS review.
On expiry days, expiring index derivative contracts will stop trading at 3.30 pm, while trading in stock derivatives will continue until 3.45 pm on all days, including expiry days. On normal trading days, index derivatives will also trade until 3.45 pm. The review followed concerns over sharp price movements during the 10-minute CAS, particularly on expiry days, since its implementation on August 3 for stocks in the futures and options segment.
SEBI CAS: order types and the February 2027 deadline
Under the revised framework, unexecuted limit orders will generally carry forward to the SEBI CAS, subject to specified exclusions, while eligible iceberg orders will be carried forward as fully disclosed limit orders unless the market participant has opted out of the transition. Stock exchanges and clearing corporations have been directed to modify their standard operating procedures in consultation with SEBI within seven days of the circular’s issuance.
Most provisions of the new SEBI CAS framework take effect on December 7, 2026, but the rules governing the transition of unexecuted limit and iceberg orders from the continuous trading session will come into force later, on February 8, 2027. Alongside the auction overhaul, SEBI is reviewing regulations governing depositories and their participants to simplify rules and strengthen fraud prevention, and is exploring graded compliance requirements for brokers alongside fixes to interoperability gaps around tender offers, buybacks and offers for sale. Brokers and institutional desks have broadly welcomed the clarity, even as they seek more detail on the operational fine print from exchanges in the coming weeks. Market participants will be watching closely how the new order-transition rules affect closing-price discovery once the December deadline arrives.