SEBI CAS: Framework Revised; Auction Window Set, Reference Price Calculation for Eligible Securities Changed
- October 16, 2026
- Posted by: Harsh Piplani
- Category: News
SEBI revised the closing auction session (CAS) framework in a circular dated 15 Oct 2026. The window runs 3:30 to 3:40 pm, the reference price is the VWAP of the last 15 minutes of continuous trading, and expiring derivatives settle on a 30 minute VWAP and not the auction price. Timings take effect on 7 Dec 2026 and order carry forward rules on 8 Feb 2027. The list of eligible securities was not in the report I read.
Quick Answer
SEBI has fixed the closing auction session at 3:30 to 3:40 pm, with order entry from 3:31 pm, limit orders only from 3:36 pm and a random close in the last two minutes. The reference price for the session is the volume weighted average price (VWAP) of the last 15 minutes of continuous trading, and expiring index and stock derivatives will settle on the VWAP of the last 30 minutes. The new timings apply from 7 December 2026, and the rules for carrying unexecuted limit and iceberg orders into the auction apply from 8 February 2027. Brokers must update their systems for the closing auction session, and traders who relied on the closing price for expiry day strategies will need to change their approach.
The closing auction session is a short call auction at the end of the trading day, designed to set a fairer closing price. SEBI first set out the closing auction session idea in a January 2026 circular, and the new circular changes the settlement basis and fixes the timings.
This guide explains the phases of the closing auction session, the reference price, the change in expiry settlement, the dates and the effect on traders. The details come from a summary of the circular, so please check the original SEBI text.
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Closing Auction Session Timings: What the Circular Fixes
| Time | Phase | Orders allowed |
|---|---|---|
| 3:30 pm (1 minute) | Reference price calculation; switch from continuous trading to the auction | None |
| 3:31 pm (5 minutes) | Order entry | Limit and market orders |
| 3:36 pm (4 minutes) | Order entry continues | Limit orders only; market orders cannot be changed or cancelled |
| 3:38 to 3:40 pm | Random close at a system chosen time | Entry ends |
| After 3:40 pm | Matching; closing price and quantity published | None |
| 3:50 to 4:00 pm | Post close session at the closing price | Cash market |
The headline calls the window 3:30 to 3:40 pm, and the phases of the closing auction session add up to that period. The random close in the last two minutes is meant to stop traders from trying to move the price at the very last moment.
Risk: Because the close is random, a trader cannot know the exact end time, so late orders can be missed.
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Reference Price: Final 15 Minute VWAP for Eligible Securities
| Case | Reference price used |
|---|---|
| Trades in the last 15 minutes of continuous trading | Volume weighted average price (VWAP) of those trades |
| No trade in the last 15 minutes | Last traded price of the day |
| No trade all day | Previous closing price, adjusted for corporate actions |
The reference price sets the starting point and the price band for the closing auction session. A VWAP over 15 minutes is harder to push than a single last trade, so the new method should reduce sudden spikes at the end.
The summary I read did not list the eligible securities, so I cannot say which stocks are in scope. SEBI’s earlier proposal focused on liquid derivative stocks, but please check the circular.
Risk: Securities outside the eligible list will continue with the old closing price method, which can create two systems in the same market.
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Expiry Day Settlement Moves to a 30 Minute VWAP
| Product | Settlement basis | Trading hours |
|---|---|---|
| Expiring index derivatives | Index value from the VWAP of constituents in the last 30 minutes | Stop at 3:30 pm on expiry day |
| Expiring stock derivatives | VWAP of the stock in the last 30 minutes across all exchanges | Until 3:45 pm |
| Other index derivatives | Normal | Until 3:45 pm |
This is the main change from the January 2026 approach, when expiry settlement was to use the closing auction price. A 30 minute VWAP is spread over a longer period, which makes it harder for a single large order to move the settlement price.
Exchanges must send indicative values through the 30 minute window. Stop-loss orders are not allowed during the closing auction session, and no new iceberg orders can be placed in it.
Risk: Traders who held positions into the close to capture the auction price will need to rethink expiry day plans.
Order Rules in the Closing Auction Session
| Order type | Treatment |
|---|---|
| Unexecuted limit orders | Carry forward from continuous trading, unless they are stop-loss orders or priced outside the auction band |
| Unexecuted iceberg orders | Carry forward as fully disclosed limit orders unless the trader opted out; lower time priority than other carried orders |
| Carried orders versus new orders | Carried orders rank ahead of orders placed during the closing auction session |
| Modification in the closing auction session | Allowed on carried orders, but time priority resets |
| New iceberg and stop-loss orders | Not allowed during the closing auction session |
The stock futures price band between 3:30 and 3:45 pm is aligned with the closing auction session price band, and the dynamic flexing rule does not apply then. The report does not give the band percentages.
Dates and Who Is Affected
| Date | What applies | Who acts |
|---|---|---|
| 22 Oct 2026 | Exchanges and clearing corporations file revised procedures | Exchanges |
| 7 Dec 2026 | Timings, settlement method, reference price, price bands and margins | Brokers, exchanges, traders |
| 8 Feb 2027 | Carry forward rules for unexecuted limit and iceberg orders | Brokers, algo traders |
Brokers need to update order management systems, margin checks and the iceberg opt out. Algorithmic and institutional traders that use the closing price as a benchmark should review their models before 7 December.
What to Watch Next
- The original SEBI circular, for the eligible securities and band percentages
- Exchange notices on the revised procedures due by 22 October
- Broker updates on the closing auction session and margin rules
- Mock sessions before 7 December
- Any change in expiry day volumes after the new settlement method
Conclusion
The revised closing auction session gives clear timings, a 15 minute VWAP reference price and a 30 minute VWAP for expiry settlement. The list of eligible securities is unverified, so check the circular before you plan trades.
Disclaimer: Data and figures in this article are sourced from publicly available information. These may or may not be accurate. Please verify all data with the official NSE (nseindia.com) and BSE (bseindia.com) websites before making any investment decision. Investments in securities are subject to market risk. This content is for educational purposes only and is not investment advice by Univest (SEBI RA INH000013776).
Frequently Asked Questions
What is the closing auction session?
Ans. It is a short auction at the end of the trading day, from 3:30 to 3:40 pm, used to set a fairer closing price.
What are the closing auction session phases?
Ans. Reference price calculation at 3:30 pm, limit and market orders from 3:31 pm, limit orders only from 3:36 pm, and a random close in the last two minutes.
How is the closing auction session reference price calculated?
Ans. It is the VWAP of trades in the last 15 minutes of continuous trading, with fallbacks to the last traded price or the previous close.
How will expiring derivatives settle?
Ans. Expiring index and stock derivatives settle on the VWAP of the last 30 minutes of continuous trading and not the auction price.
When does the new framework start?
Ans. Timings, settlement, reference price, bands and margins apply from 7 December 2026, and the carry forward rules from 8 February 2027.
Are stop-loss orders allowed in the auction?
Ans. No. Stop-loss orders and new iceberg orders are not allowed during the closing auction session.
Which securities are eligible for the closing auction session?
Ans. The summary I read did not list them, so please check the SEBI circular.
Is this article investment advice?
Ans. No. It is educational and not a recommendation to buy or sell.
