SEBI reworks the Closing Auction Session timings and derivatives settlement-price formula, effective December 2026

SEBI has revised the timing and mechanics of the Closing Auction Session (CAS), which fixes the closing price of securities in the equity cash segment and the settlement price of expiring stock and index derivatives. Introduced by a circular dated 16 January 2026 for transparent, auction-based price discovery at the close of trading, CAS will now run as a separate 10-minute session from 3:30 p.m. to 3:40 p.m. on every trading day, with order entry closing at a random time between 3:38 p.m. and 3:40 p.m. to prevent last-moment manipulation. Trading in index derivatives will continue until 3:45 p.m. (3:30 p.m. on expiry day for the expiring contract), while stock derivatives will trade until 3:45 p.m. even on expiry day. The reference price for CAS will be the volume-weighted average price (VWAP) of trades in the last 15 minutes of continuous trading, falling back to the last traded price, or the previous day's closing price if there is no trade that day.

The settlement price of expiring stock and index derivatives will now be based on the VWAP of the underlying security over the last 30 minutes of continuous trading, rather than solely the CAS-determined closing price. Stock Exchanges and Clearing Corporations must update their operating procedures within seven days of the circular; most changes take effect from 7 December 2026, while the rule carrying forward unexecuted orders from continuous trading into CAS takes effect from 8 February 2027. The circular was issued under Section 11(1) of the SEBI Act, 1992.