Sebi got over 3,500 comments on its Closing Auction Session review; chairman says circular soon
Sebi chairman Tuhin Kanta Pandey said the regulator received over 3,500 comments on its review of the Closing Auction Session, expiry settlement and market timings. The consultation paper set out seven proposals.
Sebi chairman Tuhin Kanta Pandey said the market regulator has received more than 3,500 comments on its consultation paper reviewing the Closing Auction Session (CAS), according to media reports of his remarks on 3 October 2026. ETV Bharat reported that, asked whether a circular would follow soon, he said yes, and that Sebi would look at the comments quickly because its proposals were clear. Business Standard (Hindi) reported him saying the review would not take much time. The comment deadline in the paper was also 3 October 2026.
What the consultation paper covers
The paper, issued by Sebi on 12 September 2026, is titled “Review of Certain Aspects of the Closing Auction Session, Market Timings and Settlement Methodology for Derivatives Contracts”. It invites comments on seven proposals.
Background in the paper: CAS has applied since 3 August 2026 to equity cash segment stocks that have derivatives contracts (F&O stocks). Before that, the closing price was the volume weighted average price (VWAP) of trades in the last 30 minutes of the continuous trading session (CTS). Under CAS, the closing price comes from an auction in which buy and sell orders are matched at a single equilibrium price. The paper says the initial experience and feedback showed a need to review a few aspects.
| Proposal | What the paper proposes or asks |
|---|---|
| 1 and 2: expiry settlement price | Two options for index and stock derivatives on expiry day. Option 1, “Blended VWAP”, uses trades in the last 30 minutes of CTS plus the 10 minutes of CAS, with each period contributing according to its actual traded value. Option 2 uses only the last 30 minutes of CTS (the pre-CAS method) for an interim period, with a possible move to the blended method after at least one year. The paper says any such move would not be automatic. |
| 3: Indicative Index Value | Stop disseminating the Indicative Index Value derived from indicative equilibrium prices during CAS, while continuing security-level indicative prices. The paper says the value is being misinterpreted, or positions are being taken on it. |
| 4 and 5: market timings | Option A: CTS for all stocks until 3:30 pm, CAS from 3:31 pm to 3:40 pm, derivatives trading until 3:45 pm. Option B: CTS for CAS stocks until 3:15 pm, CAS from 3:15 pm to 3:25 pm, derivatives trading until 3:30 pm. Both options cut the transition period to up to one minute (from five) and the post-CAS derivatives window to five minutes (from ten). |
| 6: limit orders in CAS | Orders placed beyond 1% and up to 3% from the reference price could not be cancelled during CAS, though price-improving modifications would be allowed. The existing 3% price band would stay. |
| 7: iceberg orders | Unexecuted quantity of an iceberg order at the end of CTS would convert into a normal limit order in CAS, with the full pending quantity disclosed. |
Data in the paper
The paper compares expiry-day premium traded in benchmark index options before CAS (26 expiries each on NSE and BSE, February to July 2026) with after CAS (5 expiries each, 3 August to 3 September 2026). It reports that on NSE the average premium traded per minute rose from 126.31 crore in the 3:00 pm to 3:30 pm window before CAS to 189.82 crore in the 3:20 pm to 3:30 pm CAS window. On BSE the corresponding figures were 141.48 crore and 288.94 crore. It also says traded value during CAS may be lower than in comparable periods of CTS, but that the two mechanisms are not directly comparable and participation may change as market participants gain familiarity.
What has not happened yet
The proposals are subject to Sebi’s decision. As of 4 October 2026 the final circular had not been issued, and this article does not describe any final rule.
Basis of these figures
Proposals, timings, dates and data are from Sebi’s consultation paper of 12 September 2026, listed on Sebi’s website. The 3,500+ comments figure and the chairman’s remarks on 3 October 2026 are from reports by ETV Bharat and Business Standard (Hindi); no Sebi release on them was found. Read the paper itself for the full text.