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The Securities and Exchange Board of India (SEBI) announced a comprehensive overhaul of the Closing Auction Session (CAS) framework in the equity cash segment, establishing a structured 10-minute auction window, revising reference price mechanisms, and changing settlement procedures for derivatives contracts.
SEBI outlined that primary modifications will take effect on December 7, 2026, while provisions concerning unexecuted order transitions will take effect on February 8, 2027. An official circular issued by SEBI on the late Thursday noted that the revised measures stem from market feedback and internal deliberations aimed at strengthening transparent price discovery and orderly trading across cash and derivatives segments. Under the modified architecture, the regulator scheduled CAS as a dedicated 10-minute window running from 3:30 p.m. to 3:40 p.m. on all trading days. "CAS shall be implemented as a separate session of 10 minutes from 3:30 p.m. to 3:40 p.m., on all trading days," SEBI noted. "The order entry session shall close randomly anytime between 3:38 p.m. to 3:40 p.m. Such random closure shall be system driven," it added. According to SEBI, the session commences with a one-minute window at 3:30 p.m. dedicated to reference price calculation and order transition, followed by order entry periods for limit and market orders. The regulator determined that the reference price for a security during CAS will rely on the volume-weighted average price (VWAP) of trades executed during the final 15 minutes of the Continuous Trading Session (CTS). If no trades occur in that window, the regulator directs exchanges to apply the day's last traded price, or the previous closing price, if no trades are executed throughout the session. Regarding the determination of derivative settlements, SEBI mentioned that on the expiry day, the settlement price of the expiring index derivatives contracts shall be determined on the basis of the value of the underlying index calculated using the volume-weighted average prices (VWAP) of the constituent securities during the last 30 minutes of the Continuous Trading Session (CTS) in the equity cash segment." "On the expiry day, the settlement price of expiring stock derivative contracts shall be determined by the Clearing Corporations on the basis of the VWAP of the underlying stock during the last 30 minutes of the CTS in the cash segment across all Stock Exchanges." SEBI mandated that stock exchanges compute and continuously disseminate indicative underlying values and VWAP on a real-time basis during the final 30 minutes of CTS. Trading in index derivatives contracts continues until 3:45 p.m. on regular days but ceases at 3:30 p.m. for expiring contracts on expiry days, while stock derivatives trade until 3:45 p.m. on all sessions. Unexecuted limit and eligible iceberg orders from CTS carry forward into CAS, with iceberg orders transitioning as fully disclosed limit orders. (ANI)
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