SEBI Revises CAS Timings to 3:30–3:40 PM, Shifts Expiring F&O Settlement To 30-Minute VWAP

Mumbai, 16 October 2026: The Securities and Exchange Board of India (SEBI) has revised the Closing Auction Session (CAS) framework, setting a new 3:30 pm–3:40 pm auction window and changing the settlement methodology for expiring futures and options (F&O) contracts. The changes introduce a 10-minute closing auction, retain a separate 15-minute VWAP for CAS reference prices and return expiring stock and index derivatives settlement to a 30-minute Volume Weighted Average Price (VWAP) methodology.

The circular, dated 15 October 2026, follows a review of CAS operations, market timings and derivatives settlement. Most changes take effect on 7 December 2026, while provisions governing the transition of unexecuted limit and iceberg orders will apply from 8 February 2027.

SEBI Revises CAS Timings to 3:30–3:40 PM

Under the revised framework, CAS will operate for 10 minutes on all trading days, replacing the earlier 3:15 pm–3:35 pm schedule. The session will begin with a one-minute reference-price calculation and transition period from the Continuous Trading Session (CTS) between 3:30 pm and 3:31 pm.

Both market and limit orders will be accepted from 3:31 pm to 3:36 pm. From 3:36 pm onwards, only limit orders will be permitted, and market orders cannot be modified or cancelled during this final order-entry stage.

The order-entry session will close at a randomly selected time between 3:38 pm and 3:40 pm, with the closure determined by the system. Exchanges will then match orders under the CAS framework and disseminate the closing price and executed quantity as soon as practicable.

During CAS, only market and limit orders can be placed, and both contribute to calculating the equilibrium price. New iceberg orders and stop-loss orders are not permitted during the auction. Orders placed during CAS must disclose their full quantity where applicable.

Expiring F&O Settlement Returns to 30-Minute VWAP

A major change concerns how settlement prices are calculated for expiring stock and index derivatives. Instead of using the closing prices determined through CAS, the revised methodology uses the underlying stock or index value calculated from trades during the final 30 minutes of continuous trading.

For expiring index derivatives, exchanges will calculate the underlying index value using the VWAPs of its constituent securities during the final 30 minutes of the equity cash-market session. They must calculate and continuously disseminate the indicative index value in real time during this period.

For expiring stock derivatives, clearing corporations will determine settlement prices using the VWAP of the underlying stock across all stock exchanges during the same 30-minute period. Exchanges must provide the VWAP and quantity traded to clearing corporations and continuously disseminate indicative stock VWAPs in real time.

These changes separate expiry settlement from the CAS closing-price mechanism. The 30-minute calculation applies to expiring stock and index derivatives on expiry days; it should not be confused with the separate reference-price calculation used to initiate CAS.

Final 15-Minute VWAP Determines CAS Reference Prices

CAS will use a different calculation to establish the reference price of a security. Exchanges will determine this price using the VWAP of trades executed during the final 15 minutes of the continuous trading session in the cash segment.

If no trade occurs in a security during that period, its last traded price for the day will serve as the reference price. If the security has not traded at all during the day, the previous trading day’s closing price will apply. Where a corporate action is involved, the previous close will be the applicable adjusted closing price or base price.

The two VWAP calculations therefore serve distinct purposes: the 15-minute VWAP establishes the CAS reference price, while the 30-minute VWAP determines settlement prices for expiring derivatives.

Derivatives Trading and Post-Close Timings Change

Index derivatives will continue trading until 3:45 pm on regular trading days. On expiry days, however, expiring index derivatives contracts must stop trading at 3:30 pm. Stock derivatives will continue trading until 3:45 pm on all trading days, including expiry days.

The cash-market post-close session will run from 3:50 pm to 4:00 pm, with trades executed at the securities’ closing prices.

The circular also covers special trading sessions. Where CAS applies, securities’ closing prices will be determined through the auction, which will retain its 10-minute duration. On such days, the derivatives segment will close five minutes after CAS ends, and a 10-minute post-close session will begin five minutes after the derivatives segment closes.

Unexecuted Orders Face New Transition Rules

Unexecuted limit orders pending at the end of CTS will generally carry forward to CAS. Exceptions include stop-loss orders and orders priced beyond the applicable CAS price bands.

Eligible unexecuted iceberg orders priced within those bands will transition into fully disclosed limit orders, unless participants opted out when placing the original orders. New iceberg orders cannot be placed during CAS.

Order priority will also change. Iceberg orders converted into fully disclosed limit orders will receive lower time priority than other limit orders carried over from CTS. However, carried-over limit and iceberg orders will have higher time priority than limit orders placed during CAS. Among transitioned iceberg orders, priority will be based on the original order time.

Carried-over limit and iceberg orders may be modified, but modification changes their time priority. These transition provisions take effect on 8 February 2027, rather than the general implementation date.

Margin Requirements and Price Bands Clarified

CAS orders will generally be subject to applicable margin requirements at order level. The exception covers limit and iceberg orders carried forward from CTS. If such orders are modified during CAS, they will also become subject to the applicable order-level margin requirements.

For stock futures, price bands between 3:30 pm and 3:45 pm will align with the price bands applicable during CAS. Dynamic price-band flexing will not apply during this specified period but will remain applicable during the relevant duration of CTS.

SEBI has directed stock exchanges and clearing corporations to modify their standard operating procedures in consultation with the regulator within seven days of the circular’s issuance. They must also make necessary regulatory amendments, establish the required systems and inform market participants of the changes.

SEBI Finalises Changes After Market Consultation

SEBI introduced CAS in the equity cash segment through a circular dated 16 January 2026, seeking to improve transparency and closing-price discovery. The original framework also linked expiry-day settlement prices for stock and index derivatives to closing prices determined through CAS.

The regulator subsequently issued a consultation paper on 12 September 2026 to seek public comments on CAS operations, market timings and derivatives settlement methodology. The final changes reflect its assessment of the feedback received, recommendations from its Secondary Market Advisory Committee, discussions with stock exchanges and internal deliberations.

The revised framework retains CAS while changing its timing, operational rules and relationship with derivatives settlement. Its implementation is split across two dates to distinguish the main changes from the later transition provisions for unexecuted orders.

SEBI’s revised framework introduces a 3:30 pm–3:40 pm CAS, a 15-minute VWAP for auction reference prices and a 30-minute VWAP for settling expiring stock and index derivatives. Most changes take effect on 7 December 2026, while unexecuted-order transition rules apply from 8 February 2027.