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A short call auction at the end of the trading day that fixes a stock's official closing price at the single price matching the most shares.
The Closing Auction Session is a call auction held at the end of the trading day in India's equity cash market to discover a stock's official closing price. Instead of taking an average of the day's final trades, the exchange collects buy and sell orders over a short window and then fixes one equilibrium price: the price at which the largest quantity of shares can be traded. Every matched order executes at that price, and it becomes the day's closing price. The Securities and Exchange Board of India (SEBI) introduced it by a circular dated 16 January 2026, and it began on 3 August 2026 for stocks that have futures and options (F&O) contracts on them. Other stocks keep the older method. Before CAS, a stock's closing price was the volume-weighted average price (VWAP) of trades in the last 30 minutes of the session. The change matters beyond the cash market because the closing price is used to value portfolios and mutual fund NAVs, and to settle derivatives on expiry. In September 2026 SEBI floated a consultation paper on how the expiry-day settlement price should use CAS.
Type: ProcessSCOPE - applies to stocks with F&O contracts; other cash-market stocks continue to use the VWAP closing method
CONTINUOUS TRADING ENDS EARLIER - regular trading in F&O stocks stops at 3:15 pm, and the auction runs from 3:15 pm to 3:35 pm
REFERENCE PRICE - the VWAP of trades between 3:00 pm and 3:15 pm. If there are no trades in that window, the day's last traded price is used, and failing that, the previous day's closing price
PRICE BAND - orders during CAS must fall within plus or minus 3% of the reference price
ORDER TYPES - market and limit orders are allowed in the first order-entry window, only limit orders in the second; iceberg and stop-loss orders are not allowed
RANDOM CLOSURE - order entry stops at a random moment between 3:28 pm and 3:30 pm, so no one can place a last-second order with certainty about the price
SINGLE EQUILIBRIUM PRICE - the price with the maximum executable volume. If several prices tie, the one leaving the lowest unmatched quantity is chosen
FALLBACK - if no equilibrium price is discovered, the reference price becomes the closing price
DERIVATIVES KEEP TRADING - F&O contracts on these stocks continue trading until 3:40 pm, after the underlying stock's auction ends
Frequency: Capital-market regulation by SEBI is a staple of banking and UPSC economy questions; CAS is a 2026 reform likely to appear in current-affairs and economy papers
For F&O stocks, the last 20 minutes of the cash-market day are split into fixed windows. Orders are collected, and then cleared together at one price.
Step 1 (3:00-3:15 pm): Normal continuous trading. The VWAP of these trades becomes the reference price
Step 2 (3:15-3:20 pm): Continuous trading stops. The exchange moves the stock into the auction and publishes the reference price
Step 3 (3:20-3:25 pm): Order Entry I - investors may place market and limit orders within the plus or minus 3% band
Step 4 (3:25-3:30 pm): Order Entry II - only limit orders. Order entry closes at a random time between 3:28 and 3:30 pm
Step 5 (3:30-3:35 pm): The exchange works out, at each possible price, how many shares could be bought and sold, and chooses the price where the most shares match. Ties go to the price with the smallest unmatched quantity
Step 6: All matched orders trade at that single price, which becomes the official closing price. If no price can be discovered, the reference price is the close
Step 7: Derivatives on the stock continue to trade until 3:40 pm
In continuous trading, each new order is matched immediately against the best waiting order, so the price moves trade by trade. The last few trades of the day can be thin, and a large order placed near the close can push the closing price. In a call auction, orders are gathered for a period and nobody trades until the window shuts. The exchange then finds the one price at which demand and supply clear the largest quantity. Because it pools all end-of-day interest, the closing price reflects the combined market rather than whichever trades happened to come last.
Continuous trading is like a vegetable market where each shopper haggles separately and prices change with every sale. A call auction is like collecting every buyer's and seller's written bid for an hour, then announcing one price at which the most vegetables change hands - and everyone who qualifies pays that same price.
| Aspect | VWAP method (earlier; non-F&O stocks now) | Closing Auction Session (F&O stocks from 3 August 2026) |
|---|---|---|
| How the close is set | Average of trade prices in the last 30 minutes, weighted by volume | Single equilibrium price from pooled auction orders |
| Trades at the closing price | No trade need happen at that exact price | All matched auction orders execute at the closing price |
| End of continuous trading | 3:30 pm | 3:15 pm |
| Manipulation safeguards | Averaging only | Plus or minus 3% band, limit-only final window, random closure |
| Order types near close | All normal order types | Market and limit in Order Entry I; limit only in Order Entry II; no iceberg or stop-loss orders |
16 January 2026
3 August 2026
7 September 2026
3:15 pm to 3:35 pm
Between 3:28 pm and 3:30 pm
Plus or minus 3% of reference price
3:40 pm
September 2026; comments by 3 October 2026
26 pre-CAS (February-July 2026) vs 5 post-CAS (3 August-3 September 2026)
The closing price does far more work than the price of one trade. Mutual fund NAVs, index values, portfolio valuations and margin calculations use it, and derivatives settle on it at expiry. When it comes from a thin set of final trades, it can be nudged, and that has been a particular worry on expiry days when large option positions depend on where a stock or index closes. An auction pools all end-of-day demand and supply and adds safeguards against last-minute moves, bringing Indian practice closer to exchanges abroad that discover closing prices through auctions. The first test came quickly: market participants reported hyperactivity in expiring index options based on the indicative equilibrium prices shown during the auction, which made settlement prices uncertain. SEBI's September 2026 paper offered two fixes: blend the last 30 minutes of continuous trading with 10 minutes of the auction, weighted by actual volume, or, as an interim step, use only continuous trading, with a possible move to the blended method after at least a year if auction liquidity is sufficient.
Securities and Exchange Board of India (SEBI)
Capital market regulator; framed the CAS and pre-open auction rules
National Stock Exchange (NSE)
Stock exchange that runs the auction for eligible stocks
BSE
Stock exchange that runs the auction for eligible stocks
CAS = end-of-day call auction that fixes the official closing price
SEBI circular 16 January 2026; live from 3 August 2026; F&O stocks only
Earlier close = VWAP of the last 30 minutes, still used for non-F&O stocks
Continuous trading in F&O stocks ends 3:15 pm; auction 3:15-3:35 pm
Reference price = VWAP 3:00-3:15 pm; band = plus or minus 3%
Order Entry I market + limit; Order Entry II limit only; random close 3:28-3:30 pm
Price = maximum executable volume; tie = lowest unmatched quantity; none = reference price
No iceberg or stop-loss orders; F&O contracts trade till 3:40 pm
Revised pre-open auction from 7 September 2026
September 2026 paper: blended VWAP vs interim continuous-trading-only VWAP for expiry settlement; comments by 3 October 2026
It is a short call auction at the end of the trading day, introduced by SEBI from 3 August 2026 for F&O stocks, that sets the official closing price at the single price where the most shares can be matched.
Continuous trading in F&O stocks stops at 3:15 pm. Order entry runs from 3:20 to 3:30 pm, closing at a random time between 3:28 and 3:30 pm, and the closing price is fixed between 3:30 and 3:35 pm.
It was the volume-weighted average price (VWAP) of trades in the last 30 minutes of the session. Stocks without F&O contracts still use this method.
Only stocks in the equity cash segment that have futures and options contracts traded on them.
Market participants raised concerns about using the CAS closing price to settle derivatives on expiry day. SEBI proposed either a blended VWAP of continuous trading and the auction, or an interim method using continuous trading only.