What is SEBI's Closing Auction Session (CAS), and how does it affect you?

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SEBI has introduced a new way to calculate the closing price of a stock, called the Closing Auction Session (CAS), which becomes effective from August 3, 2026. This will replace the current calculation process. In Phase 1, CAS will apply only to stocks in the Futures & Options (F&O) segment.

Exchanges use the closing price for:

• Calculating indices like the Nifty 50 and BSE Sensex
• Determining the Net Asset Value (NAV) of mutual funds
• Settling F&O positions on expiry
• Showing your portfolio value and profit and loss (P&L)
• Valuing stocks when you pledge them as collateral, etc.

The closing price is not the last traded price. Exchanges use Volume Weighted Average Price (VWAP), calculated from trades in the last 30 minutes of the trading session. This is because the last traded price can be misleading. If a stock trades between ₹1,000 and ₹1,010 all day and a small trade happens at ₹980 near the close, that one trade should not define the closing price. VWAP gives more weight to trades with higher volume, so a small trade does not distort the price.

What is changing and why?

SEBI is introducing the Closing Auction Session (CAS). Instead of looking at trades over the last 30 minutes, CAS collects all buy and sell orders at the end of the day into a single pool and determines one price where the maximum number of shares can be traded. This becomes the closing price. Most global markets, including the New York Stock Exchange (NYSE) and the London Stock Exchange (LSE), already use this method.

CAS improves price discovery: the closing price reflects where buyers and sellers actually agree, it becomes harder to influence prices with last-minute trades, large orders can be executed more efficiently, and it reduces tracking error for index funds and ETFs.

In Phase 1, CAS applies only to F&O stocks. All other stocks continue as they do today.

How does the auction work?

For F&O stocks, continuous trading stops at 3:15 PM from August 3, 2026. Here is how the last 30 minutes work:

• 3:00 to 3:15 PM: Regular trading

Regular trading continues normally. The exchange simultaneously calculates VWAP for these 15 minutes, which becomes the reference price for the auction.

• 3:15 to 3:20 PM: Transition period

Trading stops for F&O stocks, and no new orders are accepted. F&O contracts on these stocks continue to trade normally until 3:40 PM. The exchange carries forward existing open orders, except for stop loss orders, iceberg orders, and orders outside the 3% band on either side of the reference price.

• 3:20 to 3:25 PM: Order Entry Session I

You can place, modify, or cancel both market and limit orders. The exchange shares an indicative price (where the market is likely to settle), total buy and sell quantities, and order imbalance (whether there are more buyers or sellers).

• 3:25 to 3:30 PM: Order Entry Session II

You can only place, modify, or cancel limit orders. Market orders cannot be placed, modified, or cancelled. This session closes at random between 3:28 PM and 3:30 PM to avoid last-minute order flooding. Once it closes, the exchange matches all orders at the price where the maximum number of trades can happen. That becomes the official closing price.

How does the exchange determine the closing price?

A buyer willing to pay ₹1,010 will also accept ₹1,005 or ₹1,000, as they will take any price equal to or lower than their limit. A seller willing to sell at ₹1,000 will also sell at ₹1,005 or higher. The exchange uses this logic to calculate executable volume at each price level and picks the price where the most shares can be matched.

In this example, ₹1,005 has the highest executable volume of 900 shares, so it becomes the closing price.