CAS rollout sends average daily F&O turnover tumbling to multi-month low; what’s ahead?

Average daily futures and options (F&O) turnover on the BSE and NSE hit a multi-month low in August, weighed by the initial disruption following the rollout of the Closing Auction Session (CAS) for F&O stocks. By shifting the final 15 minutes from continuous trading to batch-auction matching, CAS has changed the traditional end-of-day trading environment, analysts said.

Data available with BSE showed that the average daily notional turnover stood at Rs 1,53,55,058 crore in August, down 33.87 per cent from Rs 2,32,19,889 crore in July. This included both futures and options. This was the lowest average daily F&O turnover for BSE since Rs 1,51,65,663 crore in July 2025, BSE data compiled by Business Today suggests.

NSE also saw its average daily F&O turnover falling, but by a lower magnitude. Its daily equity derivatives turnover stood at Rs 1,93,34,505 crore in August series, down 9.77 per cent over Rs 2,14,29,872 crore in the July series. This was lowest since average daily turnover of Rs 1,84,47,403.29 crore in February 2025 series.

Hitesh Tailor, Technical & Derivative Analyst at Choice Broking said it has particularly impacted high-frequency, proprietary arbitrage, index options scalping and delta-hedging strategies that depend on continuous order-flow visibility.

Tailor noted that brokerages have also tightened intraday auto-square-off timelines, further shortening the active trading window for retail participants.

"This impact was compounded by higher transaction costs and stricter margin requirements, which have already been weighing on speculative leverage and short-term participation," Tailor said.

In September, the average daily F&O turnover on BSE stood at Rs 1,30,43,750 crore after two trading sessions. For NSE, it improved to Rs 3,42,68,095 crore on an average in the first two sessions of September.

"While these changes have caused some near-term displacement in trading volumes, the broader objective of CAS is to improve price discovery and reduce end-of-day volatility. As traders, brokers and execution algorithms adapt to the post-3:15 PM auction environment, F&O activity should gradually stabilise around a new normal," Tailor said.