SEBI Revises Closing Auction Session (CAS) Timings and Derivatives Settlement Rules

Last updated: 16 October 2026

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The Securities and Exchange Board of India (SEBI) has announced revisions to the Closing Auction Session (CAS) timings and the methodology for determining settlement prices of stock and index derivatives. These changes follow a review of the CAS framework, which was initially introduced to improve transparent price discovery in the equity cash segment. The modifications aim to ensure efficient price discovery and orderly functioning of both the cash and derivatives markets.

HO/47/11/11(3)2025-MRD-POD2/I/23843/2026

October 15, 2026

To,
All recognised Stock Exchanges
All recognised Clearing Corporations

Dear Sir/ Madam,

Subject: Review of certain aspects of the Closing Auction Session, market timings and settlement methodology for derivatives contracts

1.SEBI vide circular dated January 16, 2026, had introduced the Closing Auction Session (CAS) in the equity cash segment of Stock Exchanges with the objective, inter alia, of facilitating transparent and efficient price discovery of the closing price of securities. The said circular also specified the framework for determination of settlement prices of stock and index derivative contracts by the Clearing Corporations, on the expiry day, based on the closing prices determined under the CAS framework.

2.Subsequent to the implementation of the CAS framework, SEBI undertook a review of certain aspects relating to the functioning of CAS, market timings and the methodology for determination of settlementprices of derivative contracts. In this regard, a Consultation Paper dated September 12, 2026, was issued seeking public comments onthe aforesaid aspects. The review was undertaken with a view to ensuring efficient price discovery and orderly functioning of the cash and derivatives segments.

3.Based on an analysis of the comments received on the aforesaid Consultation Paper, recommendations ofthe Secondary Market Advisory Committee (SMAC) of SEBI, discussions with the Stock Exchanges and internal deliberations, it has been decided to modify certain provisions of the existing CAS framework relating to the timings and operational aspects of CAS, the transition of unexecuted iceberg orders from the Continuous Trading Session (CTS) toCAS and the methodology for determination of settlement prices of stock and index derivatives contracts.

FAQ :

The Closing Auction Session (CAS) is a mechanism introduced in the equity cash segment of stock exchanges to facilitate transparent and efficient price discovery of the closing price of securities.

SEBI has revised these rules after a review of the CAS framework's functioning, market timings, and the methodology for determining settlement prices of derivative contracts. The aim is to ensure efficient price discovery and orderly market operations.

SEBI has decided to modify certain provisions related to the timings and operational aspects of CAS, the transition of unexecuted iceberg orders from the Continuous Trading Session (CTS) to CAS, and the methodology for determining settlement prices of stock and index derivatives contracts.

The CAS framework was initially introduced by SEBI via a circular dated January 16, 2026.

The primary objective of introducing the CAS framework was to facilitate transparent and efficient price discovery of the closing price of securities.

Notification No : HO/47/11/11(3)2025
Source : https://www.sebi.gov.in/legal/circulars/oct-2026/review-of-certain-aspects-of-the-closing-auction-session-market-timings-and-settlement-methodology-for-derivatives-contracts_105293.html

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