SEBI Revises Closing Auction Timings, Retains 30-Minute VWAP For Expiry-Day Settlement

(MENAFN- IANS) New Delhi, Oct 15 (IANS) The Securities and Exchange Board of India (SEBI) on Thursday issued final framework on Closing Auction Session (CAS), while retaining the 30-minute volume-weighted average price (VWAP) methodology for determining expiry-day settlement prices of index and stock derivatives.

The markets regulator also revised the timings and operational framework of the CAS in the equity cash market.

The CAS will operate from 3:30 pm to 3:40 pm on all trading days.

The changes will take effect from December 7, 2026, except for provisions governing the transition of unexecuted limit and iceberg orders from the continuous trading session, which will come into effect on February 8, 2027, according to a notification.

According to SEBI, the session will begin with a one-minute reference-price calculation and transition period from 3:30 pm to 3:31 pm.

Both limit and market orders will be permitted from 3:31 pm to 3:36 pm.

Thereafter, only limit orders will be allowed, while market orders cannot be modified or cancelled.

The session will close randomly between 3:38 pm and 3:40 pm, followed by order matching, according to the notification.

Meanwhile, trading in index derivatives will continue until 3:45 pm on normal trading days, but expiring index derivatives contracts will stop trading at 3:30 pm on expiry days.

Stock derivatives will trade until 3:45 pm, including on expiry days.

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

Following review of CAS, a consultation paper was put out to address concerns in respect of the settlement price of derivatives on expiry date.

Moreover, the market watchdog is also reviewing regulations governing depositories and their participants to simplify rules and strengthen fraud prevention. For brokers, regulator is exploring graded compliance requirements based on their scale, client exposure and dependence on technology.

Separately, SEBI is addressing concerns over transactions such as tender offers, buybacks and offers for sale that remain outside interoperability framework.

-IANS

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