{"id":312477,"date":"2026-10-16T10:04:49","date_gmt":"2026-10-16T04:34:49","guid":{"rendered":"https:\/\/univest.in\/blogs-2\/?p=312477"},"modified":"2026-10-16T10:04:49","modified_gmt":"2026-10-16T04:34:49","slug":"sebi-cas-framework-revised-auction-window-set-reference-price-calculation-for-eligible-securities-changed","status":"publish","type":"post","link":"https:\/\/univest.in\/blogs-2\/sebi-cas-framework-revised-auction-window-set-reference-price-calculation-for-eligible-securities-changed\/","title":{"rendered":"SEBI CAS: Framework Revised; Auction Window Set, Reference Price Calculation for Eligible Securities Changed"},"content":{"rendered":"

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.<\/em><\/p>\n

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Quick Answer<\/strong><\/p>\n

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.<\/p>\n<\/p><\/div>\n

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.<\/p>\n

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.<\/p>\n

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