Securities and Exchange Board of India has issued a consultation paper proposing changes to the closing auction session , including the settlement of derivatives contracts, market timings and certain operational aspects of the auction process. F&O settlement: Two options proposedBlended VWAP: Settlement would use trades during the last 30 minutes of continuous trading and 10 minutes of CAS.
The contribution of each period would be based on actual traded value. CTS VWAP: Settlement would use only trades during the last 30 minutes of continuous trading. SEBI says this could serve as an interim method, with a possible transition to the blended VWAP method after at least one year, based on the experience with CAS.
Market timings: Two options proposedOption A: Continuous trading in CAS stocks would continue until 3:30 pm, followed by a transition period of about one minute. CAS would run from 3:31 pm to 3:40 pm, with derivatives trading continuing until 3:45 pm.
Option B: Continuous trading in CAS stocks would continue until 3:15 pm. CAS would run from 3:15 pm to 3:25 pm, with derivatives trading ending at 3:30 pm. No indicative index value during CAS SEBI has proposed stopping the dissemination of the IEP-derived Indicative Index Value during CAS.
Indicative Equilibrium Prices for individual securities would continue to be provided. Stricter rules for order cancellations The existing CAS price band of ±3% would remain. Orders within ±1% of the reference price could continue to be cancelled. Orders placed beyond ±1% and up to ±3% could not be cancelled, although they could be modified to improve the price.
Unexecuted Iceberg orders could move into CAS The pending quantity of an unexecuted Iceberg order at the start of CAS could be moved into the auction. It would be converted into a normal limit order, with the entire pending quantity disclosed in the CAS order book.
SEBI has sought public comments on seven proposals in the consultation paper, with submissions due by October 3, 2026.