SEBI CAS: What Will Change For Futures & Option Settlements On BSE, NSE? How Investors Get Impacted?

The market watchdog SEBI has revised the framework for the closing auction session (CAS), aiming to bring transparency and curb extreme swings during auction trading in futures and options of stocks and indexes in the last 30 minutes after the BSE and NSE closing bell. The new changes are going to impact trading timings, settlement, and iceberg orders.

SEBI CAS: What Has Changed?

Under the new CAS framework, trading houses and market exchanges will collect all buy and sell orders at the end of the trading hour into a single pool to determine one average price where the maximum number of shares can be traded. Earlier, CAS collected the orders in the last 30 minutes of the closing bell to determine an average price for shares to be traded.

This pattern is already practised by major exchanges like NYSE and the London Stock Exchange.

"SEBI has revised the Closing Auction Session framework. From December 7, CAS will run between 3:30 pm and 3:40 pm, while derivatives trading will continue until 3:45 pm. Expiry settlement for index and stock derivatives will remain based on the final 30-minute VWAP of the underlying constituents, reducing dependence on a single auction-discovered closing price. Changes governing the transfer of unexecuted limit and iceberg orders into CAS will take effect from February 8, 2027," said Hariselvan Radhakrishnan, Founder & CEO of HST Wealth.

SEBI CAS: Old Vs New Changes

Let's understand in simple terms.

Latest: With effect from December 7, 2026, the regular cash market will continue to trade till 3:30 pm. Then, a separate 10-minute auction window will become live from 3:30 pm to 3:40 pm to determine the official closing price for particular stocks.

Under the new change, CAS will become active from 3:30 PM to 3:40 PM after the regular timing ends at 3:30 PM. Earlier, the regular trading timing closed at 3:15 PM, and CAS became active from 3:15 PM to 3:35 PM.

Also, in the new change, investors will be allowed to place both normal orders and price-specific orders between 3:31 pm to 3:36 pm. However, the normal orders window will close from 3:36 pm, but the price-specific orders can continue till 3:40 pm.

Now, it will take only one minute to prepare for an auction from 3:30 pm to 3:31 pm, compared to the earlier five-minute process.

Another key rule is that the revised CAS will end at a random time between 3:38 pm and 3:40 pm. The goal is to stop traders for waiting until the end or final call for making changes in their orders, which heavily influences prices. This will make traders place their orders well before the time, giving room for the F&O to get the best average price.

Further, under the new rule, index futures and options will be open for trading till 3:45 pm on regular trading days. However, during the day of an expiry, they will close 15 minutes earlier at 3:30 pm. However, the rule not applicable for stock futures and options, and they will continue to trade till 3:45 pm even on the expiry days.

With effect from February 8, 2026, the most pending price-specific orders will be moved into CAS. Similarly, large iceberg orders --- which generally reveals a small portion of the full order --- will also be pushed into CAS as fully visible orders unless the investors convey for opting out.

SEBI CAS: How Does The Auction Work?

What investors must understand is that the closing price is not the last traded price of the security asset. Both BSE and NSE exchanges use the Volume Weighted Average Price (VWAP), which is calculated from trades in the last 30-minutes of the session. For example, if a stock traded between Rs 1,000 to Rs 1,020 the entire trading day and a small transaction takes place at Rs 970 near the closing bell, that one trade cannot be defined as the closing price of the stock. Hence, the last trading price could be misleading. The VWAP initially gives more weightage to traders with higher volume of trade to stop the small trade price from impacting the real price.

As per Zerodha's explainer, the revised CAS improves price discovery: the closing price reflects where buyers and sellers actually agree, it becomes harder to influence prices with last-minute trades, large orders can be executed more efficiently, and it reduces tracking error for index funds and ETFs.

Notably, CAS only applies to futures and options on stocks and indexes. Not on regular equities.

SEBI CAS: How Auction Trading Works?

Here's how the last 30 minutes of closing auction trading currently work:

3:00-3:15 PM - Normal trading
You can buy and sell the stock as usual. The exchange calculates its VWAP (volume-weighted average price), which becomes the reference price for the auction.
3:15-3:20 PM - Transition
Regular stock trading stops. New orders are temporarily not accepted, while the exchange prepares the auction. Existing eligible orders are carried forward.
3:20-3:25 PM - Order entry, Round 1
You can place, change or cancel market and limit orders. The exchange displays an indicative price and shows the buying and selling interest.
3:25-3:30 PM - Order entry, Round 2
Only limit orders can be placed, changed or cancelled. The session ends at a random time between 3:28 and 3:30 PM, preventing traders from knowing the exact last second.
3:30-3:35 PM - Matching and confirmation
The exchange matches eligible buy and sell orders at the auction's equilibrium price and confirms trades. This determines the official closing price.

Example: ABC Ltd has a reference price of Rs 1,000 at 3:15 PM. In the auction window, buyers and sellers submit their buying price and quantity of shares. Then the exchange will evaluate possible prices and choose the equilibrium price. The average equilibrium price becomes the bidding price with the highest number of shares.

Price	Executable volume
₹1,000	200 shares
₹1,002	500 shares
₹1,005	900 shares
₹1,008	800 shares
₹1,010	500 shares

What needs to be noted is that a buyer willing to pay Rs 1,010 will also accept Rs 1,005 or Rs 1,000, as they will take any price equal to or lower than their limit. A seller willing to sell at Rs 1,000 will also sell at Rs 1,000 or higher. The exchange uses this logic to calculate executable volume at each price level and picks the price where the most shares can be matched, as per Zerodha.

SEBI CAS: Things to keep in mind

Here's a list of key pointers investors should keep in mind, as per Zerodha FAQs:

NSE stocks: You can view the indicative close for non-CAS stocks starting with the first trade after 3:00 PM. The reference price and imbalance quantity do not apply to non-CAS stocks. For CAS stocks, you can view the reference price, indicative close, and imbalance quantity starting from 3:20 PM.

BSE stocks: You can view these metrics only for CAS stocks starting from 3:20 PM. These metrics do not apply to non-CAS stocks.

Futures contracts: You can view only the reference price and indicative close. The imbalance quantity does not apply because trading continues throughout the session.

Indices: You can view only the indicative close. The exchange calculates this based on the index's constituent stocks.

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