SEBI Closing Auction Session to Replace VWAP Close
Why in the news
SEBI asked exchanges and clearing corporations to bring in a closing auction for cash equities, changing how the day’s closing price is found, in line with global practice.
Key facts
- Length: 20 minutes at day end.
- Price: orders are pooled and one equilibrium price is set where the maximum shares trade.
| Feature | Current system | CAS |
|---|---|---|
| Close price basis | VWAP of last 30 minutes | Auction price |
| Manipulation | Open to ‘marking the close’ via big late trades | Less scope |
| End time | Fixed | Random |
Why SEBI did it
- Price integrity: no artificial moves near the close.
- Lower volatility from end-session spikes.
- Global alignment with the US, UK and Europe, where closing auction prices feed index calculation, mutual fund NAVs and derivatives settlement.
Exam angle
- Auction length: 20 minutes.
- Old method: VWAP.