BSE, NSE Shares Fall After SEBI Revises Closing Auction Session Rules; New Norms From December 7

Shares of Bombay Stock Exchange and the National Stock Exchange of India declined on Friday, October 16, after the Securities and Exchange Board of India (SEBI) introduced changes to the Closing Auction Session (CAS) rule market regulator issued the circular late Thursday evening.

BSE shares fell 1.82% during Friday's trading session, while NSE shares declined 0.50% to Rs 1,765.
At the time of writing, BSE stock was trading at Rs. 3,370.80 while the NSE shares moved lower to Rs. 1,761 apiece.

What Has SEBI Changed In The Closing Auction Session Rules?

One of the most important changes is the settlement price for index and stock derivatives on expiry days. As per the new rule, the settlement price for index derivatives will be calculated using the underlying index value derived from the Volume Weighted Average Price (VWAP) of its constituent stocks during the final 30 minutes of the Continuous Trading Session (CTS).

This is different from the earlier CAS framework, which proposed using closing auction prices to determine expiry settlement prices.

It will also apply to stock derivative contracts on their expiry days and will be implemented across stock exchanges.

New Closing Auction Session Timings Explained

SEBI has specified a 10-minute Closing Auction Session, running from 3:30 PM to 3:40 PM. The session will have separate time slots for switching from regular trading, placing orders and determining the closing price.

The revised schedule is as follows:
3:30 PM-3:31 PM: Transition period and determination of the reference price
3:31 PM-3:36 PM: Placement of limit and market orders
3:36 PM-3:40 PM: Placement of limit orders only
3:38 PM-3:40 PM: Closing price determination

The reference price for the CAS will be calculated using the VWAP of trades executed during the final 15 minutes of the Continuous Trading Session.

SEBI Revises Rules For Iceberg Orders

The regulator has also clarified how unexecuted iceberg orders will be handled when the Continuous Trading Session ends.

Iceberg orders are large orders divided into smaller, sequential limit orders to conceal the full quantity from the public order book. Under the new rules, iceberg orders that remain unexecuted at the end of the Continuous Trading Session will be carried forward to the CAS as fully disclosed limit orders, unless they are cancelled.

These carried-forward orders will receive lower time priority than regular limit orders placed during the Continuous Trading Session, but higher priority than new orders submitted during the CAS.

When Will The New CAS Rules Take Effect?

Most provisions of SEBI's new rules will come into effect later this year on December 7th. However, the rules concerning the transition of unexecuted iceberg orders from the Continuous Trading Session to the CAS will become effective later, on February 8, 2027.