Closing Auction Session: SEBI may partly reverse CAS rules after pushback, says report

SEBI is likely to stop using the closing auction session (CAS) framework to calculate derivatives settlement prices for at least a year, Reuters reported, quoting two sources with direct knowledge of the matter. If true, this would mark a partial reversal of the new mechanism the market regulator introduced in August for setting the closing prices of key stocks and derivative contracts.

As per the report, the volume-weighted average price of the last ​30 minutes of trading will instead be used to determine the derivative pricing and that the regulator may implement the changes this month.

For underlying stocks in the cash market, ​a closing auction will still be used to determine the end-of-day price, a Reuters' source said.

SEBI had earlier said that its initial experience with CAS and feedback received from various stakeholders and market participants highlighted the need to review a few aspects related to CAS and the settlement methodology for derivatives. It subsequently came out with a consultation paper on September 12 to seek public comments on certain operational aspects of the CAS framework.

Till October 3, SEBI had received 20,000 comments.

SEBI noted that derivatives activity remained concentrated towards the close of the trading session. In particular, the period relevant for determining settlement prices under CAS was much shorter than the comparable pre-CAS period, while the average traded value per minute during the 3:20 pm to 3:30 pm period was higher than the corresponding average during 3:00 pm to 3:30 pm in the pre-CAS period.

"On NSE, the average traded value per minute increased from Rs 126.31 crore during 3:00 pm to 3:30 pm in the pre-CAS period to Rs 189.82 crore during 3:20 pm to 3:30 pm during the CAS period, while on BSE it increased from Rs 141.48 crore to Rs 288.94 crore, respectively," SEBI said earlier.

CAS was introduced in the equity cash segment for stocks on which futures and options (F&O) contracts were available, with effect from August 3, 2026. The objective was to facilitate efficient and transparent price discovery of the closing price of securities.

The framework was preceded by extensive stakeholder consultation and policy deliberation, including two rounds of public consultation in December 2024 and August 2025.

Prior to the introduction of CAS, the closing price of stocks was determined based on the Volume Weighted Average Price (VWAP) of trades executed during the last 30 minutes of the Continuous Trading Session (CTS). Under CAS, the closing price is determined through an equilibrium price discovery mechanism based on the aggregate of buy and sell orders in the order book during the auction.