SEBI Consultation Paper on Closing Auction Session Changes
Why in the news
A few weeks after the new closing-price mechanism began, SEBI sought public views on refining derivatives settlement, market timings and other operating details of the Closing Auction Session.
Key facts
- Instrument: consultation paper with seven proposals; comments due by 3 October 2026.
- CAS discovers the closing price by auction.
The seven proposals
| No. | Area | Proposal |
|---|---|---|
| 1 | Expiry-day settlement price | Option 1: blended VWAP of last 30 minutes of normal trading plus the 10-minute CAS. Option 2: keep CTS VWAP of the last 30 minutes before CAS (suggested for at least one year) |
| 2 | Indicative Index Value | May be dropped during CAS; security-level IEPs continue |
| 3 | Market timings | Option A: CAS 3:31-3:40 pm, derivatives till 3:45 pm. Option B: CAS stocks trade till 3:15 pm, CAS 3:15-3:25 pm, derivatives end 3:30 pm |
| 4 | Transition gap | From 5 minutes to about 1 minute |
| 5 | Post-CAS derivatives window | From 10 minutes to 5 minutes |
| 6 | Order cancellation | Within +/-1% of reference price: cancellable. Beyond 1% up to 3%: only price-improving modification |
| 7 | Iceberg orders | Unexecuted ones may enter CAS; leftover quantity turns into a normal limit order, fully visible |
Key terms
- IEP: Indicative Equilibrium Price, where the largest executable quantity could match.
- VWAP: Volume Weighted Average Price.
Exam angle
- Regulator: SEBI; document type: consultation paper.
- Full form of CAS: Closing Auction Session.