The Securities and Exchange Board of India (SEBI) is reportedly planning a partial rollback of its Closing Auction Session (CAS) framework, especially concerning the determination of derivative settlement prices. This move comes after substantial feedback from market participants and stakeholders, according to a recent report.
Introduced on August 3, 2026, the CAS mechanism was designed for the equity cash segment, specifically for stocks with available futures and options (F&O) contracts. Its primary objective was to enhance transparency and efficiency in the price discovery of closing prices for securities.
Sources indicate that SEBI is likely to temporarily suspend the use of CAS for calculating derivative settlement prices for at least one year. Instead, the Volume Weighted Average Price (VWAP) method, based on trades executed during the last 30 minutes of the continuous trading session, is expected to be reinstated for derivatives. These changes could be implemented as early as this month.
Despite this potential reversal for derivatives, the closing auction session will reportedly continue to be used for determining the end-of-day prices of underlying stocks in the cash market.
SEBI acknowledged the need to review certain aspects of CAS and its settlement methodology for derivatives, citing initial experiences and feedback. The regulator issued a consultation paper on September 12, 2026, seeking public comments on operational aspects of the framework, which garnered over 20,000 responses by October 3.
Observations by SEBI indicated a concentration of derivatives activity towards the close of the trading session under CAS. The average traded value per minute during the 3:20 pm to 3:30 pm period in the CAS era significantly surpassed the average from 3:00 pm to 3:30 pm in the pre-CAS period. For instance, on NSE, the average traded value per minute increased from ₹126.31 crore to ₹189.82 crore, and on BSE, it rose from ₹141.48 crore to ₹288.94 crore.
Prior to CAS, the closing price was determined by the VWAP of trades in the last 30 minutes. Under the CAS framework, the closing price is established through an equilibrium price discovery mechanism, considering the aggregate of buy and sell orders in the order book during the auction period. The introduction of CAS followed extensive stakeholder consultations and policy deliberations, including two rounds of public consultation in December 2024 and August 2025.