Description

NSE issues detailed operational guidelines and Standard Operating Procedure (SOP) for the Closing Auction Session (CAS) in the Equity Cash Segment, covering reference price calculation, applicable price bands for cash and F&O segments, and alignment with SEBI circular dated January 16, 2026.

Summary

NSE has issued detailed operational guidelines and a Standard Operating Procedure (SOP) for the Introduction of the Closing Auction Session (CAS) in the Equity Cash Segment. This follows SEBI circular SEBI/HO/47/11/11(3)2025-MRD-POD2/I/2765/2026 dated January 16, 2026 and NSE circular ref no. 72394 dated January 19, 2026. The circular defines how reference prices are determined for CAS, the applicable price bands in the cash and F&O segments, and modifications to how price bands operate during the CAS window.

Key Points

  • CAS will be introduced in a phased manner, initially applicable to stocks on which derivative contracts are available
  • The closing price for eligible stocks will be determined based on CAS
  • Reference price for CAS is the VWAP of trades executed between 3:00 p.m. and 3:15 p.m.
  • If no trade occurs between 3:00–3:15 p.m., the Last Traded Price (LTP) for the day is used as the reference price
  • If no trade occurs during the entire day, the previous trading day’s closing price is used
  • For corporate actions, the previous day’s adjustable closing price or base price is used
  • Price band during CAS in the cash market is +/- 3% from the reference price
  • Stock futures price band during 3:15 p.m. to 3:40 p.m. is +/- 3% from the futures reference price, aligned with CAS
  • Dynamic flexing of price bands for stock futures (per SEBI Master Circular para 2.5.3) is suspended during 3:15 p.m. to 3:40 p.m.
  • The “last half hour” of Continuous Trading Session (CTS) for futures price band purposes is redefined as 2:45 p.m. to 3:15 p.m.

Regulatory Changes

  • Reference Price Methodology: Closing prices for derivative-eligible stocks will now be determined via CAS rather than the traditional continuous trading session close
  • F&O Price Band Alignment: Stock futures price bands are aligned with CAS price bands (+/- 3%) during 3:15–3:40 p.m., overriding the existing dynamic flexing framework
  • Redefinition of Last Half Hour: For the purpose of para 2.5.3.1 of the SEBI Master Circular for SECC dated December 30, 2024, the last half hour of CTS is now 2:45 p.m. to 3:15 p.m. (not 3:00–3:30 p.m. as previously)
  • Stock Futures Reference Price: Calculated using VWAP of futures trades between 3:00–3:15 p.m.; fallback to LTP or theoretical price (based on cash market LTP at 3:15 p.m.) if no trades exist

Compliance Requirements

  • All NSE members in the Capital Market Segment must note and comply with the updated operational guidelines and SOP for CAS
  • Members must align their trading systems and risk management frameworks with the new price band structure during the CAS window (3:15–3:40 p.m.)
  • Members must account for the suspension of dynamic price band flexing for stock futures during 3:15–3:40 p.m.
  • Members dealing in F&O must use the revised reference price methodology for stock futures during the CAS period

Important Dates

  • Circular Date: March 18, 2026
  • SEBI Circular Reference Date: January 16, 2026 (SEBI/HO/47/11/11(3)2025-MRD-POD2/I/2765/2026)
  • NSE Prior Circular Date: January 19, 2026 (Ref No. 72394)
  • CAS Effective Date: To be implemented in a phased manner; specific go-live date not stated in this circular

Impact Assessment

High Impact. This circular fundamentally changes how closing prices are determined for all derivative-eligible stocks on NSE, affecting a large portion of the equity market. The introduction of CAS creates a new price discovery mechanism for closing prices, replacing the traditional last-trade-based closing price with an auction-based VWAP. Key impacts include:

  • For equity traders: Orders placed between 3:15–3:40 p.m. in CAS-eligible stocks will be subject to a strict +/- 3% price band around the CAS reference price
  • For F&O traders: Stock futures will have a tighter, fixed +/- 3% price band during 3:15–3:40 p.m., with dynamic flexing suspended — this could limit hedging activity near close
  • For market makers and arbitrageurs: The alignment of cash and futures price bands during CAS reduces the risk of large cash-futures basis divergence at close
  • Operational impact: Members need to update order management and risk systems to handle the new session type, reference price calculations, and modified price bands
  • Index and portfolio impact: Since closing prices of derivative-eligible stocks will be CAS-determined, NAV calculations, index rebalancing, and mark-to-market valuations will be affected

Impact Justification

Introduces a fundamental change to how closing prices are determined in the equity cash segment via CAS, affecting all derivative-eligible stocks and requiring operational changes across cash and F&O segments for all NSE members.