SEBI Revises Equity Market Closing Auction Rules, Retains 30-Minute VWAP for Expiry

The Securities and Exchange Board of India (SEBI) has issued its final framework for the Closing Auction Session (CAS), revising equity cash market timings while retaining the 30-minute volume-weighted average price (VWAP) method for derivatives expiry settlement. 

As per news reports, the revised CAS will operate from 3:30 pm to 3:40 pm on trading days, replacing the existing 3:15 pm to 3:35 pm schedule.  

The changes will take effect on December 7, 2026, while provisions on the transfer of unexecuted limit and iceberg orders will apply from February 8, 2027. 

Derivatives Settlement Method 

Index derivatives settlement prices will be calculated using the VWAPs of constituent stocks during the final 30 minutes of continuous cash market trading. For stock derivatives, the underlying stock’s VWAP over the same period across all exchanges will be used. 

Exchanges will publish indicative index values in real time during this period. The final settlement price will follow the prescribed VWAP method rather than the index value recorded at the end of trading. 

Revised Trading Timings 

The CAS will begin with a reference-price calculation and transition period from 3:30 pm to 3:31 pm. Market and limit orders will be accepted until 3:36 pm. Only limit orders will be permitted thereafter, and the session will close randomly between 3:38 pm and 3:40 pm before order matching. 

Index derivatives will trade until 3:45 pm on normal trading days. Expiring index derivative contracts will stop trading at 3:30 pm on expiry days, while stock derivatives will continue trading until 3:45 pm, including on expiry days.  

The cash market post-close session will run from 3:50 pm to 4 pm. 

Order and Price Rules 

The CAS reference price will be based on the VWAP of trades during the final 15 minutes of continuous trading. If no trades occur during that period, the day’s last traded price will apply. For securities with no trades during the day, the previous closing price, adjusted for corporate actions where applicable, will be used. 

Eligible unexecuted limit orders will generally carry forward to the CAS, excluding stop-loss orders and orders outside applicable price bands. New iceberg and stop-loss orders will not be allowed during the session. 

Implementation 

SEBI has directed stock exchanges and clearing corporations to update their standard operating procedures within seven days of the circular, in consultation with the regulator. 

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Conclusion  

SEBI retains the 30-minute VWAP method for derivatives expiry settlement and shifts the closing auction session to 3:30 pm from December 7, 2026. 

Disclaimer: This blog has been written exclusively for educational purposes. The securities mentioned are only examples and not recommendations. This does not constitute a personal recommendation/investment advice. It does not aim to influence any individual or entity to make investment decisions. Recipients should conduct their own research and assessments to form an independent opinion about investment decisions.  

Investments in the securities market are subject to market risks, read all the related documents carefully before investing.