SEBI announces new CAS framework from 7 December; expiry-day close to stay on old 30-minute VWAP average
Expiring derivatives will keep settling on the VWAP of the last 30 minutes of normal trading, and the closing auction will run as a separate 3:30 pm to 3:40 pm session. Changes for unexecuted limit and iceberg orders start on 8 February 2027.
The Securities and Exchange Board of India (SEBI) on Thursday, 15 October 2026, announced revisions to the closing auction session (CAS) framework, according to Business Standard, ThePrint and other reports. The revised framework takes effect from 7 December 2026, except for the rules on how unexecuted limit and iceberg orders move from the continuous trading session into the CAS, which start on 8 February 2027. CAS here means the closing auction session of the stock exchanges, not the consolidated account statement sent to investors.
What changes
Timing: the CAS becomes a separate 10-minute session from 3:30 pm to 3:40 pm on all trading days. Today it is a 20-minute window from 3:15 pm to 3:35 pm. Order entry will close at a random moment between 3:38 pm and 3:40 pm. Reports describe a one-minute reference-price stage from 3:30 pm to 3:31 pm, market and limit orders until 3:36 pm, and limit orders only after that.
Settlement of expiring derivatives: SEBI kept the volume-weighted average price (VWAP) method. Expiring index derivatives settle on the VWAP of the index constituents over the last 30 minutes of continuous trading (3:00 pm to 3:30 pm). Expiring stock derivatives settle on the VWAP of the underlying stock over the same 30 minutes across all exchanges. Exchanges will pass the VWAP and traded quantity to the clearing corporations and publish indicative values in real time.
Derivatives trading hours: index derivatives will trade until 3:45 pm on normal days, but index contracts expiring that day will stop trading at 3:30 pm. Stock derivatives will trade until 3:45 pm, including on expiry days. The post-close session in the cash segment will run from 3:50 pm to 4:00 pm at closing prices.
Orders carried into the CAS: pending limit orders will generally carry forward, except stop-loss orders and orders priced beyond the CAS price bands. Unexecuted iceberg orders within the price bands will turn into fully disclosed limit orders unless the trader opted out when placing them. These converted orders will rank below other limit orders carried forward from the continuous session but above limit orders placed during the CAS.
Why SEBI revisited it
The CAS came into effect on 3 August 2026 and drew complaints from traders about the settlement price, sharp price spikes and thin liquidity in the window, Business Standard reports. SEBI’s consultation paper received more than 20,000 suggestions, and its Secondary Market Advisory Committee discussed the matter on Thursday. A blended settlement method that SEBI had proposed was not adopted; traders and brokers had favoured the 30-minute VWAP method as more familiar and transparent. A proposal to bar cancelling limit orders placed beyond 1% of the reference price was also left out of the final circular.
What to check
The wording above comes from media reports of the circular. The exact rules, including the iceberg-order mechanics, are in SEBI’s circular and the exchanges’ implementation circulars, which CapitCue has not yet read. This story will be updated if the exchanges publish further details.
This story was compiled by CapitCue from the media reports listed below. CapitCue provides information only; it is not investment advice.