Shares of BSE Ltd and Angel One came under pressure on Friday, October 16, after the Securities and Exchange Board of India (SEBI) revised the framework for the closing auction session (CAS), changing the reference price calculation for eligible securities and specifying fresh trading cut-offs for index and stock derivatives.
BSE shares fell 3.29%, while Angel One declined 3.16%. MCX shares were down 1.77%, Billionbrains fell 0.57%, and National Stock Exchange shares declined 0.27% in early trade, the data showed.
Under the revised framework, the closing auction session will run from 3:30 p.m. to 3:40 p.m., with most changes taking effect from December 7, 2026. The reference price for the closing auction will be based on the volume-weighted average price (VWAP) of trades executed during the final 15 minutes of continuous trading in the cash market.
What Are The Key Changes In SEBI's CAS Framework?
The order-entry period during the auction will close at a randomly determined time between 3:38 p.m. and 3:40 p.m. The closure will be system-driven. Once order entry ends, stock exchanges will match orders under the closing auction framework and disseminate the closing price and executed quantity as soon as practicable.
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SEBI has also specified separate trading cut-off times for index and stock derivatives.
Index derivatives will continue to trade until 3:45 p.m. on regular trading days. However, expiring index derivatives contracts will stop trading at 3:30 p.m. on expiry days. Stock derivatives will continue to trade until 3:45 p.m. on all trading days, including expiry days.
For stock futures, the applicable price band between 3:30 p.m. and 3:45 p.m. will be aligned with the price band used during the closing auction session. The existing framework for dynamically adjusting price bands will not apply during this period, although it will continue to apply during the relevant part of the continuous trading session.
How Will The Closing Auction Reference Price Be Calculated?
Under the revised rules, the reference price for a security will be determined using its VWAP during the final 15 minutes of the continuous trading session in the cash market.
If no trade takes place in a security during that period, its last traded price for the day will be used. If the security has not traded during the day, the previous trading day's closing price will serve as the reference price. In the event of a corporate action, the previous day's adjusted closing price or base price will be considered.
For expiry settlement, index derivatives will use the VWAPs of constituent stocks during the continuous trading session. Settlement for stock derivatives will be based on the underlying stock's VWAP across exchanges.
What Orders Will Be Allowed During CAS?
SEBI has specified that only limit and market orders will be permitted during the closing auction session. Both types of orders will be considered when calculating the equilibrium price.
Traders will not be allowed to place new iceberg orders during CAS, ensuring that orders entered during the session disclose their full quantity. Existing eligible pending iceberg orders will transition into fully disclosed limit orders. Stop-loss orders will also not be permitted during the auction session.
What Will Be The Post-Close Trading Timings?
The post-close session in the cash market will run from 3:50 p.m. to 4 p.m., with trades executed at the closing price of the respective securities.
For special trading sessions, the closing price of securities covered by the auction framework will also be determined through CAS. The auction will last 10 minutes, while the derivatives segment will close five minutes after the auction ends. A 10-minute post-close session will begin five minutes after the derivatives segment closes.
The revised framework aims to standardise closing-price determination and establish clearer trading cut-offs across cash-market auctions and derivatives, with most provisions scheduled to take effect from December 7, 2026.
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