SEBI To Introduce New Framework In Equity Cash Segment To Determine Closing Stock Prices

SEBI Introduces Closing Auction Session (CAS) for Equity Cash Segment

Markets regulator SEBI has announced the introduction of a Closing Auction Session (CAS) in the equity cash segment, a new framework designed to make the discovery of closing prices more transparent and robust.

Key Features of CAS

• The CAS will be implemented in a phased manner, with the initial phase applying only to cash market stocks that have derivative contracts.
• The CAS will run for 20 minutes, from 3:15 pm to 3:35 pm, on all trading days and will operate as a separate session after the continuous trading session.
• The CAS will include phases for transition from continuous trading, order entry for both market and limit orders, a limit-only order period with random closure in the last two minutes, and final order matching.

Implementation Details

The CAS will be implemented in phases, with the following key details:

• The equity derivatives segment will continue trading till 3:40 pm, while the post-close session in the cash market will run from 3:50 pm to 4:00 pm, during which trades will be executed at the closing price.
• The reference price for CAS will be based on the Volume-Weighted Average Price (VWAP) of trades between 3:00 pm and 3:15 pm.
• A price band of plus or minus 3 per cent of the reference price will apply during CAS.

Order Types and Priorities

Only market and limit orders will be allowed during CAS, while iceberg and stop-loss orders will not be permitted.

• Market orders will get execution priority over limit orders.
• Unexecuted limit orders from the continuous trading session will be carried forward into CAS, except for stop-loss orders, iceberg orders, and orders outside the applicable price band.

Settlement Prices and Price-Band Alignment

SEBI has amended the framework for settlement prices of stock and index derivatives, which will now be based on the closing prices discovered through CAS.

• SEBI has asked stock exchanges and clearing corporations to jointly formulate standard operating procedures for settlement prices and price-band alignment within 30 days.

Timeline

The CAS framework will be implemented from August 3, 2026, while the revised pre-open auction framework will come into effect from September 7, 2026, SEBI said.

• August 3, 2026: CAS framework implementation
• September 7, 2026: Revised pre-open auction framework implementation