The Securities and Exchange Board of India (SEBI) has revised the framework for the closing auction session (CAS), setting the auction window from 3:30 p.m. to 3:40 p.m. and changing the reference price calculation for eligible securities.
Most of the changes will take effect from December 7, 2026. Under the revised framework, 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.
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.
SEBI has also specified separate trading cut-off times for index and stock derivatives.
Index derivatives contracts 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.
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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, though it will continue to apply during the relevant part of the continuous trading session.
The post-close session in the cash market will run from 3:50 p.m. to 4 p.m. Trades during this window will be 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.
How The Closing Auction Reference Price Will Be Calculated
Under the revised rules, the reference price for a security will be determined using its VWAP during the last 15 minutes of the continuous trading session in the cash market.
If no trade takes place in a security during those 15 minutes, 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 adjustable closing price or base price will be considered.
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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.
Restrictions On Orders 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.
The revised framework changes the way closing prices are determined and sets out clearer trading cut-offs for cash-market auctions and derivatives, with most provisions scheduled to come into effect on December 7, 2026.
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