SEBI amends closing auction rules and derivatives settlement

The Securities and Exchange Board of India (SEBI) has released a final framework for the Closing Auction Session (CAS) in the equity cash market. The new rules revise the timing and operational structure of the session, which will now operate from 3:30 PM to 3:40 PM on all trading days, moving from the current 3:15 PM to 3:35 PM window.

For derivatives expiry settlement, SEBI will retain the 30-minute volume-weighted average price (VWAP) method. Index derivatives will use the underlying index value, calculated based on the VWAP of index stocks during the final 30 minutes of continuous cash market trading. Stock derivatives will utilize the VWAP of the respective stock across all exchanges during that same period. Exchanges are required to provide these indicative values in real-time.

The changes are scheduled to take effect on December 7, 2026. However, rules regarding the transfer of unexecuted limit and iceberg orders from the continuous trading session will not be applicable until February 8, 2027. On expiry days, trading in index derivatives will cease at 3:30 PM, while stock derivatives will continue trading until 3:45 PM.