SEBI Revises CAS Rules: Derivatives Expiry Settlement Changes

Mumbai | 16 October 2026 

The closing auction session is a short window at the end of the trading day that sets a stock’s closing price. SEBI introduced it in the equity cash market through a circular dated 16 January 2026. 

The regulator has now changed when the session runs and how expiring stock and index derivatives are settled. The review followed a consultation paper issued on 12 September 2026. 

What Are the New Closing Auction Session Timings? 

The CAS will run as a separate 10-minute session from 3:30 pm to 3:40 pm on all trading days. It currently runs from 3:15 pm to 3:35 pm. The new session has three phases, and order entry closes at a random time between 3:38 pm and 3:40 pm. 

How Will Expiring Derivatives Be Settled? 

From 7 December 2026, expiry-day settlement prices will be based on the VWAP of the last 30 minutes of the CTS. VWAP is the average trade price over a period, weighted by the number of shares traded. Under the January 2026 framework, settlement prices were based on CAS closing prices. 

• Index derivatives will settle on the index value calculated from the VWAPs of its constituent stocks. 

• Stock derivatives will settle on the stock’s VWAP across all exchanges. 

• Exchanges will publish indicative values in real time during those 30 minutes. 

When Will Derivatives Trading End Each Day? 

Index derivatives will trade until 3:45 pm on normal days. Expiring index contracts will stop trading at 3:30 pm on expiry day. Stock derivatives will trade until 3:45 pm on all days, including expiry day. 

The cash market’s post-close session will run from 3:50 pm to 4 pm, with trades executed at the closing price. 

What Changes for Limit, Iceberg and Stop-Loss Orders? 

From 8 February 2027, unexecuted limit orders will carry forward from the CTS into the CAS. An iceberg order is a large order that shows only part of its quantity at a time. Stop-loss orders and orders priced outside the CAS price band will stay out of the auction. 

• Unexecuted iceberg orders within the price band will move into CAS as fully visible limit orders, unless the investor opts out when placing them. 

• Carried-forward orders will rank above new CAS limit orders, and converted iceberg orders will rank below other carried-forward limit orders. 

• Modifying a carried-forward order resets its time priority and brings it under margin requirements. 

• New iceberg and stop-loss orders cannot be placed during CAS. 

Outlook: When Do the New Rules Take Effect? 

Most of the changes take effect on 7 December 2026. The carry-forward rules for unexecuted limit and iceberg orders take effect on 8 February 2027. SEBI has directed stock exchanges and clearing corporations to update their standard operating procedures within 7 days of the circular, in consultation with the regulator. 

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