SEBI revises Closing Auction Session and derivatives market timings
Why in the news
On 15 October 2026, SEBI issued a circular revising the Closing Auction Session (CAS) in the equity cash segment, market timings for derivatives and the method for settling derivatives contracts on expiry day.
Key facts
- CAS window: 10 minutes, 3:30 pm to 3:40 pm, on all trading days, in three phases: a 1-minute reference price and transition phase, 5 minutes of limit and market order entry (from 3:31 pm) and 4 minutes of limit-only entry (from 3:36 pm).
- Random closure: order entry ends at a system-chosen random time between 3:38 pm and 3:40 pm.
- Reference price: VWAP of trades in the last 15 minutes of continuous trading; if none, the day’s last traded price; if no trades all day, the previous close.
- Post-close session: 3:50 pm to 4:00 pm in the cash segment, with trades at the closing price.
- Restrictions: new iceberg orders and stop-loss orders cannot be placed during CAS.
| Item | New rule |
|---|---|
| Index derivatives | Trade till 3:45 pm; expiring contracts stop at 3:30 pm on expiry day |
| Stock derivatives | Trade till 3:45 pm on all days, including expiry |
| Expiry-day settlement | VWAP of the last 30 minutes of continuous cash-market trading |
| Effective date | 7 December 2026 (iceberg carry-forward: 8 February 2027) |
About the Closing Auction Session
SEBI first introduced CAS in the equity cash segment through a circular of 16 January 2026. After a consultation paper on 12 September 2026, public comments and recommendations of its Secondary Market Advisory Committee (SMAC), the framework was modified. Unexecuted iceberg orders within CAS price bands will be carried forward as fully disclosed limit orders unless the participant opts out.
Exam angle
- Remember the timings: CAS 3:30-3:40 pm, derivatives till 3:45 pm, post-close 3:50-4:00 pm.
- Know the two VWAP windows: 15 minutes for the CAS reference price, 30 minutes for expiry-day settlement.
- VWAP stands for volume weighted average price.