SEBI has introduced the Closing Auction Session (CAS) for the equity cash segment, effective August 3, 2026, replacing the current VWAP-based closing price mechanism for F&O stocks. The new system determines the closing price through a call auction that matches the maximum executable buy and sell orders, aiming to improve price discovery, transparency, and align Indian markets with global practices.
SEBI has approved a new way of deciding the closing price of stocks — called the Closing Auction Session (CAS). The framework takes effect from August 3, 2026, and it changes how the "last price of the day" gets calculated for stocks that have futures and options contracts
The Current Methodology
At present, the closing price of a stock is computed as the Volume Weighted Average Price (VWAP) of trades executed during the last 30 minutes of the Continuous Trading Session (3:00 PM to 3:30 PM).
The Shift to CAS
Under CAS, the closing price will instead be determined through a dedicated call auction — a mechanism already used by major global exchanges, and structurally similar to the pre-open session that currently sets opening prices in Indian markets. Buy and sell orders are aggregated into a single pool, and the exchange matches them at the price that allows the maximum executable volume. This price becomes the official close.
CAS will be rolled out in a phased manner. It will initially apply only to stocks that have derivative (F&O) contracts available. Closing prices for the remaining securities in the cash segment will continue to be determined under the existing VWAP methodology until further notice.
Structure and Timing of CAS, F&O and Post Closing Session
CAS, F&O and post closing session will operate as a separate 45-minute session from 3:15 PM to 4:00 PM on all trading days structured as below:
| Session | Time | What's Happening | What You Can Do |
| 1 | 9:15 AM – 3:15 PM | Normal market hours | Trade as usual — buy, sell, modify, or cancel orders freely |
| 2 | 3:15 | Closing Auction Session (CAS) begins; normal trading stops | You can no longer place regular trades. The system now locks in a reference price to start the auction |
| 3 | 3:15 PM – 3:20 PM | Reference price is being calculated | The market is closed and no trading can take place — this is a system process. Any pending limit orders you had are automatically carried into the auction |
| 4 | 3:20 PM – 3:25 PM | Auction order entry opens | You can place fresh Market or Limit orders if you specifically want to trade at the reference price |
| 5 | 3:25 PM – 3:28 PM | Order entry narrows | You can still place or edit Limit orders. Market orders can no longer be added, changed, or cancelled |
| 6 | 3:28 PM – 3:30 PM | Random cut-off window | Order entry can close at any second in this window — the system decides the exact moment. Once it closes, no more orders can be placed, in any form |
| 7 | 3:30 PM – 3:35 PM | Closing price is calculated and locked | No trading happens here — the system matches all orders and finalises the official closing price |
| 8 | 3:30 PM – 3:40 PM | F&O market only | If you trade derivatives (futures & options), you can continue for 10 more minutes. |
| 9 | 3:40 PM – 3:50 PM | Quiet window | No trading in any segment — the exchange is publishing the final closing price |
| 10 | 3:50 PM – 4:00 PM | Post-close session | You can still place an order, but it will execute only at the closing price already fixed, and if there is a matching buyer/seller |
Additional operational details:
- Order entry will close at a system-determined random point between 3:28 PM and 3:30 PM, designed to prevent participants from timing orders to the exact close.
- The equity derivatives segment will continue to operate until 3:40 PM on all trading days.
- A post-close session will run from 3:50 PM to 4:00 PM, during which trades are executed at the day's closing price.
- On special trading sessions, closing prices will also be determined through CAS, with session durations adjusted proportionately.
Order Types Permitted
- Limit orders and market orders are the only order types accepted, and both are considered in computing the equilibrium price.
- Iceberg orders are not permitted — the full order quantity must be disclosed.
- Stop-loss orders are not permitted during CAS.
Determination of the Reference Price
The reference price anchors the auction and is calculated as follows:
- The VWAP of trades executed between 3:00 PM and 3:15 PM; or
- If no trades occur in that window, the Last Traded Price (LTP) for the day; or
- If no trades occur during the day at all, the previous trading day's closing price
A price band of +/- 3% from the reference price will apply throughout the CAS window, limiting the extent to which prices can move during the auction. Correspondingly, the price band for stock futures will remain aligned with the applicable CAS band during this period, and the existing dynamic price band framework will not apply between 3:15 PM and 3:40 PM.
The Equilibrium Price Mechanism
The closing price under CAS is determined through what is termed the equilibrium price mechanism — the price at which the maximum executable volume is achieved.
Where more than one price satisfies this condition, the price with the least unmatched order quantity is selected. If a tie persists, the price closest to the reference price is chosen. If the reference price falls exactly between two qualifying prices, the reference price itself becomes the closing price. In the event no equilibrium price can be discovered at all, the reference price is again used as the closing price by default.
Order execution follows a fixed priority: eligible market orders are matched first on a time-priority basis at the equilibrium price, followed by residual market orders against limit orders, and finally, remaining limit orders are matched against each other by price-time priority.
Treatment of Unexecuted Orders
Limit orders that remain unexecuted at the end of continuous trading will automatically carry forward into CAS, with three exceptions: stop-loss orders, iceberg orders, and orders priced outside the applicable CAS price band. Carried-forward orders retain priority over new orders placed during CAS, though any modification to a carried-forward order resets its time priority and brings it under applicable margin requirements.
Impact on Derivatives Settlement
As the closing price methodology changes, the settlement price computation for derivatives contracts has also been revised:
- Index derivatives will settle based on the closing price of the underlying index, derived from the closing prices of its constituent stocks.
- Stock derivatives will settle at a price calculated by the Clearing Corporations, based on the volume-weighted average of the stock's closing prices across all exchanges on which it trades.
Exchanges and Clearing Corporations are required to jointly formulate a Standard Operating Procedure, in consultation with SEBI, for this settlement methodology within 30 days of the circular.
Disclaimer: This blog post is for informational purposes only and should not be considered financial advice. Please consult with a qualified financial advisor before making any investment decisions.Check SEBI circular here.
