The Securities and Exchange Board of India (SEBI) has revised its closing auction session (CAS) framework, introducing changes to trading hours, derivatives settlement and the treatment of pending orders.
The revised rules will take effect on Dec 7, 2026, while provisions governing the transfer of unexecuted limit and iceberg orders will become operational on Feb 8, 2027.
The changes follow concerns raised by traders over liquidity, settlement prices and volatility since CAS was introduced on Aug 3.
Revises Trading Timings
SEBI has retained the volume-weighted average price (VWAP) mechanism for settling index derivatives.
Settlement prices will be calculated using constituent stocks’ VWAP during the final 30 minutes of continuous trading, between 3 pm and 3.30 pm.
For expiring stock derivatives, clearing corporations will use the underlying shares’ VWAP across exchanges during the same period.
Exchanges must provide trading quantities and price information while publishing indicative values in real time.
Under the revised schedule, CAS will operate between 3.30 pm and 3.40 pm, with order entry closing randomly during the final two minutes.
Index derivatives trading will continue until 3.45 pm, except for expiring contracts, which will close at 3.30 pm.
Stock derivatives trading will continue until 3.45 pm, including on expiry days. The cash market’s post-close session will operate from 3.50 pm to 4 pm.
New Rules For Pending Limit, Iceberg Orders
SEBI has also clarified how pending orders will move from the continuous trading session (CTS) into CAS.
Unexecuted limit orders will generally carry forward, excluding stop-loss orders and those outside applicable price bands.
Pending iceberg orders within permitted bands will become fully disclosed limit orders unless investors opt out when placing them.
An iceberg order divides a large transaction into smaller portions, revealing only part of the total quantity.
Converted iceberg orders will receive lower priority than carried-forward limit orders but higher priority than new CAS orders.
The revisions follow more than 20,000 consultation responses and discussions by SEBI’s Secondary Market Advisory Committee.
The regulator also dropped a proposed restriction on cancelling certain limit orders outside a 1% reference-price range.