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From Monday, 3 August 2026, the last 25 minutes of the session split into two different regimes.
For stocks covered by the Closing Auction Session, or CAS, continuous cash trading ends at 3:15 pm. The closing price is then discovered through an auction that completes by approximately 3:35 pm. Stocks outside CAS continue trading until 3:30 pm. Equity derivatives remain in continuous trading until 3:40 pm — through the entire auction and past it.
That last line is the one that changes the derivatives desk. Futures and options do not enter an auction. They keep printing while the underlying's close is being discovered next to them. From 3:15 pm, a derivatives trader is no longer watching a live cash LTP — he is watching an auction book form the close, with his own market still open.
The change applies initially to cash stocks on which derivative contracts are available — which is to say, precisely the underlyings of every stock derivative. The CAS indicator published in the exchange scrip master is the final reference for identifying eligible securities. NSE and BSE go live on the same date; this has been a multi-month exchange programme, with member mock sessions conducted through the run-up to 3 August rather than a single circular release.
Under the present system, a stock's closing price is calculated using the volume-weighted average price of trades during the final 30 minutes of continuous trading.
CAS replaces this process for eligible stocks with one pooled closing auction. Orders entered for the close are collected and matched at a single equilibrium price. SEBI's stated objective is to improve closing-price discovery, provide a larger liquidity pool for sizeable orders and reduce the market impact faced by passive funds and other participants executing against the official close.
The closing price has uses beyond the final print visible on a chart. Constituent closing prices feed the official index close under the applicable free-float market-capitalisation methodology. They are used in mutual-fund NAV calculations, portfolio valuation and — under a revised framework described below — the settlement of equity derivatives. For a derivatives trader, the auction is not a cash-market curiosity: it is now the machine that produces the number his positions ultimately mark against.
An auction does not guarantee execution. It establishes a separate process through which the closing price and executable quantity are discovered.
The cash mechanics are unchanged in substance from the exchange guidelines and remain the foundation everything else sits on.
Cash trading continues normally. The exchange calculates the VWAP of trades executed between 3:00 and 3:15 pm. This becomes the stock's CAS reference price.
The reference price performs three functions:
It establishes the ±3% price band for the auction.
It is used when the equilibrium-price calculation requires a tie-break.
It becomes the official closing price if the auction does not discover an equilibrium price.
The reference price is not the indicative auction price. It remains fixed while the indicative equilibrium price changes with orders entered during CAS.
If a stock does not trade between 3:00 and 3:15 pm, its last traded price for the day becomes the reference. If it has not traded during the day, the previous trading day's closing price is used — adjusted only where a corporate action applies, in which case the adjusted closing price or base price is taken.
Continuous trading ends for CAS-eligible cash stocks at 3:15 pm. No fresh cash orders are accepted during this five-minute transition.
Eligible limit orders from the continuous session that fall within the CAS band are carried into the auction with their time priority retained. Stop-loss orders, disclosed-quantity orders and orders outside the applicable price band are cancelled. A carried order that is modified during CAS loses its earlier priority, is treated as a fresh order and is subjected to the applicable margin validation.
The first CAS order-entry period accepts both market and limit orders. During this period, the exchange disseminates information from the developing auction book, including:
Indicative equilibrium price and indicative tradable quantity at that price
Total buy and sell quantities
Order-imbalance quantity at the equilibrium price, with a side indicator
Market-order imbalance, with a side indicator
Indicative index close
This is the first point at which the auction begins showing where executable interest is forming around the close.
From 3:25 pm, only limit orders can be entered. Market orders already present in the book are locked and cannot be modified or cancelled. The order-entry session closes randomly between 3:28 and 3:30 pm. After the random close, no further cash orders or modifications are accepted.
The exchange matches eligible orders at one equilibrium price, selected in sequence:
The price at which the maximum quantity can be executed.
If more than one price qualifies, the price with the smallest unmatched quantity.
If a tie remains, the price closest to the CAS reference price. Where the reference sits exactly between two qualifying prices, the reference itself becomes the closing price.
Market orders receive execution priority over limit orders under the CAS matching framework — the opposite of the pre-open convention. Eligible market orders match first against each other on time priority, residual market orders match against limit orders, and remaining limit orders match on price-time priority. All eligible trades execute at the discovered equilibrium price.
If no equilibrium price can be determined, the reference price becomes the official closing price. If no equilibrium is determined and the security has not traded during the day, the latest available close carries forward.
The cash post-close session moves to 3:50–4:00 pm. Trades in this window execute at the closing price discovered through CAS.
The main change is the removal of the 3:15–3:30 continuous-trading window for CAS stocks. A trader who previously entered or exited an F&O-linked stock at 3:29 pm no longer has access to the regular cash order book at that time.
There are now two execution choices: complete the trade in the continuous market before 3:15 pm, or participate in CAS and accept the auction's execution conditions. An order submitted to CAS may execute completely, execute partially or remain unfilled. A market order receives priority, but its eventual execution still depends on eligible quantity on the other side of the auction.
The ±3% price band does not represent an expected closing move. It defines the permissible auction range around the reference price. The actual closing price still requires executable orders and is determined by the equilibrium-price rules.
NSE and BSE conduct separate auctions. The same stock can therefore close at different prices on the two exchanges.
For a derivatives trader, the practical shape of the change is that 3:20–3:40 pm becomes two windows doing different work.
3:20 to 3:30 pm — trading against a forecast. Derivatives print continuously. The underlying cash stock has stopped trading; in its place streams the indicative equilibrium price, tradable quantity and the two imbalance readings — an estimate of the close that shifts with every order in the auction book. Market orders in the auction lock at 3:25. Cash order entry dies at the random close between 3:28 and 3:30. Through this window, futures price a basis to a close nobody knows yet.
3:30 to 3:40 pm — trading against a fact. Matching runs from 3:30 to approximately 3:35 and the official close prints. The final minutes of derivatives trading now happen with a fixed, known underlying close on the screen. Any gap between where futures were pricing the close at 3:29 and where the auction actually discovered it resolves in this window — a window that did not exist before, because the cash close and the derivatives close used to arrive together at 3:30.
The 3:28 pm carry entry. Consider the trader whose habit was entering a next-day position at 3:28 pm. If the entry is in futures or options, the order still goes through — and he gains ten minutes, to 3:40. What has changed is the information under the order. At 3:28 the last cash print is from 3:15; the moving number for the underlying is the auction's estimate, not a traded price. The old read — live cash LTP at 3:28, leg in against it — points at a price that no longer exists. He now acts in the middle of the day's information flow rather than at the end of it, with the new option of waiting for the discovered close and still executing. If the entry was in the cash leg — buying the stock at 3:28 to carry — that path is gone: before 3:15 in the continuous book, or through the auction with its fill uncertainty.
Price bands in the derivatives segment. Options retain their existing price-band and Limit Price Protection methodology through the full session to 3:40 pm. Stock futures receive a separate adjustment: from 3:15 to 3:40 pm, their applicable band becomes ±3% around each futures contract's own 3:00–3:15 pm VWAP reference price, and the usual dynamic flexing of futures bands is suspended for this window. Outstanding stock-futures orders outside the revised band are cancelled sequentially as the exchange completes the recalibration — this does not happen instantaneously at 3:15 pm. LPP ranges for stock futures are recalibrated from 3:15 pm on the same reference. Where a stock future has not traded during the day, its reference is the theoretical price derived from the cash LTP at 3:15 pm. A resting limit order sitting outside the recalibrated band does not survive into the final windows.
The exchange disseminates two index values while CAS is in progress. They are different data points, and from 3:20 pm an index derivatives trader is choosing which one to trade against.
The actual index is not frozen. For CAS constituents, it holds each stock's last traded price from the continuous session — fixed from 3:15 pm. Constituents outside CAS continue contributing their real-time prices until 3:30 pm. The two parts of the index therefore behave differently through the auction window, and the headline index number goes stale by construction as the auction progresses.
The indicative index close uses the changing indicative equilibrium prices of stocks inside CAS. For index constituents outside CAS, it uses the VWAP of their trades from 3:00 pm onwards — the same calculation that produces their close under the existing mechanism.
These two values can move differently between 3:20 and the completion of matching. The likely official close lives in the indicative number. Index futures trading through this window are, in effect, pricing the gap between the two.
The settlement price framework for equity derivatives has been revised alongside the closing process.
Index derivatives settle on the closing price of the underlying index, derived from the CAS closing prices of its constituents. Stock derivatives settle at a price computed by the Clearing Corporations as the volume-weighted average of the stock's closing prices across the exchanges on which it trades.
This is where the two-exchange point becomes practical rather than academic. NSE and BSE run separate auctions and can print separate closes; the Clearing Corporation blend of those closes is what reaches the settlement file. On expiry, final moneyness is determined from this settlement framework — not from the 3:15 pm cash LTP, and not from the option's price at that time. The auction is the machine the position marks against at the end.
The useful observations after launch will come from the relationship between the fixed reference price and the developing auction book — and, for the derivatives desk, from how futures and options behave across the forecast window and the fact window.
The main data points are:
The distance between the 3:00–3:15 pm reference and the indicative equilibrium price
The direction and size of the order imbalance, and the market-order imbalance before orders are locked
Quantity finally matched at the equilibrium price
Differences between NSE and BSE closing prices, and the blended settlement values that result
The behaviour of stock futures and index futures between 3:15 and 3:30 — basis to the indicative close
The reconciliation in derivatives between 3:35 and 3:40, once the close is a fact
From 3 August, the closing sequence contains two price-discovery mechanisms running alongside each other: a cash auction for eligible stocks and continuous trading in equity derivatives. For cash traders, 3:15 pm becomes the end of continuous execution in CAS stocks. For derivatives traders, it begins a 25-minute period in which the underlying close moves from reference price to indicative price to official close — while their own market stays open the whole way through.
The Pre-Open Auction Session is aligned with the CAS framework separately, effective 7 September 2026.
SEBI circular introducing CAS — HO/47/11/11(3)2025-MRD-POD2/I/2765/2026, 16 January 2026
NSE operational guidelines and SOP — NSE/CMTR/73362, 18 March 2026
BSE detailed operating-guidelines update — Notice 20260728-42, 28 July 2026
Vtrender Charts reads the 3:15–3:40 pm window — auction data on one side, live derivatives prints on the other — through Market Profile, Orderflow and Gamma density tools on a direct NSE + BSE feed: https://charts.vtrender.com/subscription
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