SEBI CAS rules revised: new timings, VWAP back

What SEBI changed in the Closing Auction Session

SEBI has issued a final framework revising the Closing Auction Session (CAS) in the equity cash market. The regulator has set the CAS window at 3:30 pm to 3:40 pm on all trading days. Alongside timing changes, SEBI has modified how orders are handled at the close. The circular also changes how settlement prices are determined for stock and index derivatives expiring that day. Specifically, SEBI has retained the use of a 30-minute volume-weighted average price (VWAP) approach for expiry-day settlement. The discussion has been prominent on social media because the close impacts end-of-day pricing and expiry-day settlement. SEBI has also specified phased order entry within the 10-minute auction. Most provisions start from December 7, 2026, with one operational change pushed to February 8, 2027.

New CAS timing: 3:30 pm to 3:40 pm

Under the revised framework, the CAS will run for 10 minutes from 3:30 pm to 3:40 pm. This auction will operate on all trading days in the equity cash segment. The first minute begins at 3:30 pm and is reserved for reference price calculation and transitioning from the continuous trading session. After that, the order entry window opens under defined rules. A key operational feature is that the session ends at a randomly determined time between 3:38 pm and 3:40 pm. This random close is part of the design described in the circular and shared summaries. Separately, the post-close session in the cash market is set to run from 3:50 pm to 4:00 pm. Market participants on forums have focused on how the tighter window changes end-of-day execution planning.

Three phases inside the 10-minute auction

SEBI’s revised schedule divides the CAS into three stages. From 3:30 pm to 3:31 pm, exchanges calculate the reference price and transition eligible orders from continuous trading. From 3:31 pm to 3:36 pm, both market orders and limit orders can be entered. From 3:36 pm onward, order entry is restricted to limit orders only. This limit-only window lasts until the session closes, with the close time randomly determined between 3:38 pm and 3:40 pm. Social posts also highlighted that market orders have restrictions during the later stage, including that modifications or cancellations are not allowed for market orders in that window. SEBI has also clarified that only market and limit orders are permitted during CAS. New iceberg orders and stop-loss orders are not allowed during the auction.

Reference price: VWAP of last 15 minutes

For determining the reference price used during CAS, exchanges will use the VWAP of trades executed during the final 15 minutes of the continuous trading session. If no trade takes place during that 15-minute period, the day’s last traded price will be used. If the security has not traded during the day, the previous session’s closing price will be used, adjusted for corporate actions where applicable. This hierarchy has been widely reposted because it defines the starting point for the auction’s price discovery. The reference price is part of the process that occurs in the first minute of CAS. The change is presented as a standardized method across eligible securities. Traders discussing the circular have focused on how this reference price interacts with the auction’s equilibrium price. SEBI’s framework ties the reference price directly to observed market activity near the close, through VWAP.

Order transition rules: what carries into CAS

SEBI has specified how unexecuted orders from the continuous trading session are treated when CAS begins. Unexecuted limit orders pending at the end of continuous trading will generally be carried into CAS. However, stop-loss orders are excluded from this carry-forward. Orders priced outside the applicable auction-session price bands are also excluded from transition. Unexecuted iceberg orders within the applicable price bands will be converted into fully disclosed limit orders when carried forward. This conversion applies unless the market participant opted out of the transition at the time of placing the original iceberg order. During CAS, only market and limit orders are permitted, which aligns with the conversion requirement. The effective date for modifications governing the transition of unexecuted limit and iceberg orders is February 8, 2027, later than the rest of the framework.

What is allowed during CAS: limits on order types

SEBI’s circular emphasizes that CAS will accept only market and limit orders. New iceberg orders are not permitted during the closing auction window. New stop-loss orders are also not permitted during CAS. Orders placed during the session are subject to applicable margin requirements at the order level. The exception noted in the summaries is for eligible orders carried over from the continuous trading session. Participants online have focused on the practical impact of full-quantity disclosure because iceberg orders placed in CAS are not allowed. This makes order intent more visible during the close compared with an iceberg mechanism. SEBI has also stated that both market and limit orders will be considered when calculating the equilibrium price. These constraints are central to how the revised closing process is expected to function operationally.

Derivatives: VWAP settlement for expiry-day contracts

SEBI has brought back the VWAP methodology for determining expiry-day settlement prices of stock and index derivatives. Under the revised provisions, settlement prices for expiring derivatives contracts will be calculated using the VWAP of the underlying during the final 30 minutes of the continuous trading session. For expiring index derivatives, settlement will be based on the underlying index value calculated using the VWAP of constituent securities during the final 30 minutes of continuous trading. For stock derivatives, settlement will be based on the underlying stock’s VWAP during the same period across stock exchanges. Separately, the circular changes trading timings for derivatives on expiry days. Trading in index and stock derivatives will continue until 3:45 pm on regular trading days. However, contracts expiring that day will stop trading at 3:30 pm on expiry days, as highlighted in multiple social summaries. SEBI chairman Tuhin Kanta Pandey has said the regulator expects to issue guidelines on the settlement-price mechanism for derivatives on expiry days within a week.

Key dates, timings, and methods at a glance

Most of the revised CAS framework takes effect from December 7, 2026. The provisions governing transition of unexecuted limit and iceberg orders come later, from February 8, 2027. The CAS itself is set at 3:30 pm to 3:40 pm, with a random close between 3:38 pm and 3:40 pm. The reference price for CAS is based on VWAP of the last 15 minutes of continuous trading, with fallbacks to last traded price and then prior close if there is no trade. Derivatives expiry-day settlement is based on VWAP of the last 30 minutes of continuous trading in the underlying, with index settlement referencing VWAP of constituents. Trading in index and stock derivatives continues until 3:45 pm, but expiring index derivatives stop at 3:30 pm on expiry days. The post-close session in the cash market runs from 3:50 pm to 4:00 pm. Reuters-sourced discussion circulating online also suggested SEBI may stop using the closing auction for derivatives settlement for at least a year, shifting to a 30-minute VWAP, while retaining the auction for less-liquid underlying stocks.

What market participants are watching next

The revised framework has triggered questions online about how closing execution may change, especially around the tighter auction structure. The phased entry rules and the random close window are being closely read because they affect how orders may be timed during the final minutes. Another widely discussed point is the order transition mechanism, particularly the conversion of iceberg orders into fully disclosed limit orders when carried into CAS. The reference price hierarchy is also being tracked because it determines the base level used during the auction process. In derivatives, social chatter has centered on the shift to VWAP for expiry-day settlement and how the underlying’s last 30 minutes of continuous trading becomes central. The change in expiry-day trading cut-off for expiring index derivatives contracts at 3:30 pm is another point of attention. SEBI’s comment that guidelines on the settlement-price mechanism for derivatives on expiry days are expected within a week adds a near-term milestone for traders to monitor. For now, the dates to keep in focus are December 7, 2026 for most provisions and February 8, 2027 for order transition specifics.