Introduction of Closing Auction Session (CAS) in the Equity Cash Segment and certain modifications in the Pre-Open Auction Session
Summary
The circular introduces a Closing Auction Session (CAS) for equity cash segment stocks to determine closing prices, replacing the previous Volume Weighted Average Price method. It establishes specific timings, order types, and an equilibrium price mechanism for this new 20-minute session. Additionally, it modifies settlement price calculations for derivatives and aligns stock futures price bands with the CAS framework. This section mandates the settlement of derivative contracts based on volume-weighted average closing prices and requires Stock Exchanges to formulate Standard Operating Procedures for price determination. It establishes that existing cash market risk management systems apply during the Call Auction Session and imposes margin requirements on orders, with specific dissemination rules for indicative data. Finally, it aligns the pre-open auction framework with the CAS, sets implementation timelines for 2026, and directs exchanges to strengthen surveillance and update regulations.
Text
it is decided to introduce CAS in the equity cash segment of the Stock Exchanges.
CAS shall be made applicable in a phased manner. Initially, the closing price of stocks in the cash segment on which derivative contracts are available shall be determined based on CAS.
The closing price for the remaining securities in the cash segment shall continue to be determined based on VWAP of the trades executed during the last 30 minutes of the CTS in the cash segment.
CAS shall be implemented as a separate session of 20 minutes from 3:15 pm to 3:35 pm on all trading days.
The order entry session shall close randomly anytime between 3:28 p.m. to 3:30 p.m. Such random closure shall be system driven.
The equity derivatives segment shall continue to operate up to 3:40 p.m. on all trading days.
The post close session in the cash segment shall operate between 3:50 p.m. to 4:00 p.m., where trades shall be executed at the closing price of stocks.
The reference price of a stock in CAS in the cash segment shall be determined based on the VWAP of the trades executed in the stock during the period 3:00 p.m. to 3:15 p.m.
In case no trade is executed... the Last Traded Price (LTP)... shall be taken as the reference price... In case there is no trade during the day, the closing price of the stock of the previous trading day shall be taken...
Price band applicable during CAS shall be +/- 3% from the reference price of the stock.
The price band of stock futures during the period from 3:15 p.m. to 3:40 p.m. shall be in alignment with the price band applicable during CAS.
The Stock Exchanges, within 30 days from the date of the circular, shall jointly formulate a Standard Operating Procedure (SOP), in consultation with SEBI, to ensure alignment of the price band of stock futures with the price band applicable during CAS.
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Source: SecMarx — Introduction of Closing Auction Session (CAS) in the Equity Cash Segment and certain modifications in the Pre-Open Auction Session. Verbatim text is public record; SecMarx structuring (linkage to applying orders) is cited to us.