SEBI Floats Two Options for Expiry-Day Derivatives Settlement Under CAS Review

Key facts

• The Securities and Exchange Board of India (SEBI) proposed reviewing the Closing Auction Session (CAS) framework, market timings and derivatives settlement methodology, with two options for expiry-day settlement prices.
• The CAS framework was introduced in the equity cash segment for derivative-available stocks with effect from August 3, 2026, following public consultations on December 5, 2024 and August 22, 2025.
• Option 1, the Blended VWAP, bases expiry-day settlement on trades during the last 30 minutes of the Continuous Trading Session (CTS) and 10 minutes of CAS, with no predetermined weights.
• Option 2 bases expiry-day settlement only on trades during the last 30 minutes of CTS, the pre-CAS methodology, with a possible transition to include CAS trades after at least one year.
• In the pre-CAS period (February to July 2026, 26 expiries), average premium traded per minute between 3:00 PM and 3:30 PM was ₹126.31 crore on NSE and ₹141.48 crore on BSE; in the post-CAS period (August 3 to September 3, 2026, five expiries), it was ₹189.82 crore on NSE and ₹288.94 crore on BSE between 3:20 PM and 3:30 PM.
• Average premium traded during the five-minute transition period was ₹791.50 crore on NSE and ₹668.38 crore on BSE, representing 1.72% and 1.57% of the day's premium turnover respectively.
• Two market timing alternatives were proposed: Option A keeps CTS until 3:30 PM, CAS from 3:31 PM to 3:40 PM and F&O trading until 3:45 PM; Option B ends CTS at 3:15 PM, runs CAS from 3:15 PM to 3:25 PM and ends F&O at 3:30 PM.
• SEBI proposed reducing the transition period between CTS and CAS from five minutes to up to one minute and the post-CAS F&O trading window from 10 minutes to five minutes.
• SEBI proposed continuing dissemination of security-level Indicative Equilibrium Prices (IEP) while stopping dissemination of the IEP-derived Indicative Index Value (IIV) during CAS.
• The existing ±3% price band for CAS will continue, but orders beyond ±1% of the reference price cannot be cancelled during CAS, and unexecuted Iceberg quantities may convert into normal limit orders.
• Public comments on the consultation paper may be submitted to SEBI until October 3, 2026.