NSE, BSE, Groww, other capital market stocks rise up to 3% as Sebi revises CAS framework. What traders must know
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ETMarkets.comSEBI revises closing auction rules.
Global brokerage Jefferies says the revised framework should reduce expiry-day volatility under the Closing Auction Session (CAS), benefiting brokers whose orders remain below pre-CAS levels. "With premium turnover for exchanges back to pre-CAS levels, earnings upside may be limited. We recommend buying Groww”.
The market regulator revised the CAS framework introduced in January this year after consulting with stakeholders. SEBI said its consultation paper on the proposed changes received more than 20,000 comments.
Under the revised framework, the CAS will operate from 3.30 pm to 3.40 pm on all trading days. Most changes will come into effect on December 7, 2026, while the rules for transferring unexecuted limit and iceberg orders from the continuous trading session will take effect on February 8, 2027.
SEBI introduced the CAS to ensure transparent and efficient price discovery for securities at the end of the trading day. After reviewing the framework, the regulator sought feedback from the public through a consultation paper released on September 12.
What are the fresh changes by Sebi?
The revised 10-minute session will have three phases. The first minute, from 3.30 pm to 3.31 pm, will be used to determine the reference price and transfer orders from the continuous trading session. Both limit and market orders can be entered between 3.31 pm and 3.36 pm. During the final four minutes, only limit orders will be accepted, while market orders cannot be modified or cancelled. The order-entry window will close at a randomly determined time between 3.38 pm and 3.40 pm.Index derivatives will continue trading until 3.45 pm on regular trading days, but contracts expiring on that day will stop trading at 3.30 pm. Stock derivatives will remain open until 3.45 pm, including on expiry days. In the cash market, the post-close session will run from 3.50 pm to 4 pm, with trades executed at the respective securities' closing prices.
SEBI has also changed the method used to calculate settlement prices for derivatives contracts expiring on a given day. For index derivatives, the settlement price will be based on the underlying index value calculated using the volume-weighted average prices (VWAP) of its constituent stocks during the final 30 minutes of the continuous trading session in the equity cash market.
For stock derivatives expiring that day, clearing corporations will calculate settlement prices using the VWAP of the underlying stock over the final 30 minutes of the cash market session across all stock exchanges. Exchanges will share the relevant VWAP and traded quantities with clearing corporations and continuously publish indicative values for market participants during this period.
The revised rules also clarify how pending orders will be transferred from the continuous trading session to the closing auction. Unexecuted limit orders will generally be carried forward, excluding stop-loss orders and orders priced outside the applicable auction price bands. Iceberg orders that remain unexecuted and fall within the permitted price bands will be converted into fully disclosed limit orders, unless market participants choose to opt out of the transition when placing the original order.
Orders carried over from the continuous trading session will receive higher time priority than limit orders placed during the auction. However, transferred iceberg orders will rank below other limit orders carried forward from the continuous session. These iceberg orders can be modified during the auction, but any modification will change their time priority.
The regulator has directed stock exchanges and clearing corporations to revise their standard operating procedures in consultation with the regulator within seven days of the circular's issuance. They must also put the necessary systems in place to implement the updated framework.