SEBI’s 15 October circular separates Indian equity derivatives expiry settlement from the cash-market closing auction. Most changes begin on 7 December 2026; revised treatment of carried-over orders follows on 8 February 2027.[1]
The closing auction session, or CAS, began on 3 August for cash-market stocks with derivatives contracts. It aggregates orders to determine a closing price at the level where the greatest volume can execute. SEBI originally linked derivative settlement to those closing prices: index settlement used constituent closes, while stock derivatives used a volume-weighted combination of the cash-market closes across exchanges.[2]
This made the auction relevant both to investors seeking the official cash close and to traders holding derivatives through expiry. SEBI’s 3 September review announcement said expiry-price calculation had become a significant area of market feedback after the first month of operation. Its consultations included brokers, proprietary traders, software vendors and institutional investors.[3]
Cash closing prices and derivative settlement will serve different purposes
Two stages of implementation
| Item | August framework | Revised position |
|---|---|---|
| Expiry settlement: 7 December | CAS-based constituent or stock closing prices. | Last-30-minute continuous-trading VWAP: constituent prices for indices; underlying stock across exchanges for stock derivatives.Source 2Source 1 |
| CAS: 7 December; times IST | 15:15–15:35, including transition and matching. | 15:30–15:40; order entry from 15:31, market orders until 15:36, then no market-order amendments/cancellations; random close 15:38–15:40; matching follows.Source 2Source 1 |
| Derivatives close: 7 December; IST | 15:40 for equity derivatives. | Expiring index contracts: 15:30. Other index contracts and all stock derivatives: 15:45.Source 2Source 1 |
| Iceberg transition: 8 February | Unfinished iceberg orders excluded from CAS. | In-band remainder becomes a fully disclosed limit order, unless the participant opted out when placing it.Source 2Source 1 |
VWAP weights executed prices by traded volume. The September consultation considered either combining continuous trading and auction transactions or initially returning to continuous trading alone. It also distinguished a changing indicative auction price from an executed trade: the indicative value can move as orders arrive, change or disappear before matching.[4]
For a simplified illustration, 100 shares executed at ₹100 and 300 at ₹102 produce a VWAP of ₹101.50: (100 × 100 + 300 × 102) ÷ 400. An unexecuted auction indication contributes no traded volume to that calculation. These invented prices illustrate the weighting only; the circular determines the eligible instruments, venues and time window.[4][1]
SEBI’s consultation described concerns about trading in expiring index options while indicative auction prices were changing. The revised settlement calculation uses executed continuous-trading transactions, making those trades the final reference while the auction continues to determine the cash-market close.[4]
The later order change concerns visibility as well as timing
An iceberg order exposes only part of its total quantity during continuous trading. The consultation explained that converting the unfinished remainder to an ordinary limit order would reveal all remaining shares to the auction book. A broker’s explanation of that transition therefore needs to cover disclosure of the remainder, not merely whether the order survives the end of continuous trading.[4]
Under the final rules, transitioned iceberg orders rank behind other carried-over limit orders, but ahead of new CAS limits. The separate February start gives this order-handling change a different implementation date from the December settlement and trading-hours changes.[1]
The circular covers Indian equity cash trading and stock/index derivatives. Currency derivatives and offshore CFDs sit outside this change. For affected systems, the practical requirement is to maintain separate fields for the cash closing price and the derivative expiry settlement price, with the applicable calculation and trading cutoff attached to each.[1][2]
Sources & further reading
- Review of CAS, market timings and derivatives settlement: final circular SEBI · 15 Oct 2026 · Accessed 15 Oct 2026
- Introduction of Closing Auction Session in the equity cash segment SEBI · 16 Jan 2026 · Accessed 15 Oct 2026
- SEBI announces a review of derivatives settlement following CAS rollout SEBI · 3 Sep 2026 · Accessed 15 Oct 2026
- Consultation on CAS, market timings and derivatives settlement methodology SEBI · 12 Sep 2026 · Accessed 15 Oct 2026