Closing Auction Session (CAS) Complete FAQ Guide
Closing Auction Session (CAS) Complete FAQ Guide
Everything investors and traders need to know about SEBI's new closing price mechanism, effective 3 August 2026
Published: 17 August 2026
Quick Overview
The Closing Auction Session (CAS) is a new SEBI-mandated process for discovering the official closing price of stocks that have Futures & Options (F&O) contracts. Instead of relying on the average price of trades in the last 30 minutes of the day, an auction-style mechanism now pools all closing-time orders and settles them at one fair, market-clearing price.
Below is a detailed FAQ covering the mechanics, timings, order-handling rules, rationale, and impact of this change.
General Understanding
Q1. What exactly is the Closing Auction Session (CAS)?
CAS is a dedicated auction window held at the end of each trading day for stocks with active F&O contracts. During this window, buy and sell orders are collected — not executed instantly — and then matched together at a single price once the order-entry period ends. That single price becomes the stock's official closing price for the day.
Q2. How is this different from normal trading?
In regular (continuous) trading, a buy order is matched and executed the moment a compatible sell order appears, and vice versa — trades happen continuously throughout the day. In CAS, no trade happens during order collection. All eligible orders are gathered first, and only after the window closes does the exchange calculate the one price that allows the maximum number of shares to change hands. Every eligible trade then executes at that single price.
Q3. When did CAS come into effect?
CAS became effective 3 August 2026.
Q4. Which stocks does CAS apply to?
Initially, CAS applies only to stocks on which F&O (Futures & Options) contracts are available. Stocks without F&O contracts continue to use the earlier VWAP-based method for now, until SEBI extends the framework further.
Timings
Q5. What are the exact timings of the CAS window?
CAS runs daily from 3:15 PM to 3:35 PM, broken into four stages:
The final closing price is confirmed anytime between 3:30 PM and 3:35 PM.
Q6. Why does the order window close at a "random" time?
Between 3:28 PM and 3:30 PM, the system randomly picks the exact cut-off moment for order entry. This discourages traders from timing last-second orders to influence the auction price, making the price discovery process fairer.
Q7. How have overall market timings changed?
For Cash Segment:
Regular trading (stocks/MTF): now ends at 3:15 PM (was 3:30 PM)
Intraday trading: now ends at 3:00 PM (was 3:10 PM)
Intraday auto square-off: 3:00 PM.
For F&O Segment:
● No change — trading continues until 3:30 PM, intraday until 3:15 PM
For derivatives (Futures & Options — index and stocks):
● Trading now extends to 3:40 PM (was 3:30 PM)
Q8. Is there any trading after CAS ends?
Yes. A post-close session runs from 3:50 PM to 4:00 PM in the cash segment, during which trades are executed at that day's official closing price.
How the Auction Price Is Calculated
Q9. What is the "equilibrium price" and how is it decided?
During order collection, the exchange checks every possible price point to see how many total shares could be matched at that price — since buyers willing to pay a higher price will also accept a lower one, and sellers willing to accept a lower price will also accept a higher one. The price level where the maximum number of shares can be matched is chosen as the equilibrium price.
This becomes the stock's official closing price.
Q10. How are market orders (orders without a specified price) treated in the auction?
Since market orders don't specify a price, they're treated as willing to transact at any price discovered by the auction. As a result, all pending market buy orders are added to the cumulative buy quantity at every price level, and all market sell orders are added to the cumulative sell quantity at every price level, when the exchange is calculating the equilibrium price.
Q11. What is the "reference price" used at the start of CAS?
The reference price is the Volume Weighted Average Price (VWAP) of trades executed during the last 15 minutes of the preceding continuous trading session. It acts as a starting anchor for the auction, but it is not the same as the final closing price — the actual close is whatever equilibrium price the auction discovers.
Order Types and Order Handling During CAS
Q11a. What happens to my existing open limit orders when CAS begins?
Open limit orders that were placed during the regular (continuous) trading session and remain unexecuted are automatically carried forward into the Closing Auction Session. You do not need to re-enter them.
Q11b. Which order types are allowed during CAS?
Only limit orders and, during Session 1 only, market orders are permitted.
Q11c. Which order types are NOT allowed during CAS?
The following order types are not permitted during the Closing Auction Session:
● Immediate-or-Cancel (IOC) orders
● Disclosed Quantity orders
If you typically use these order types, place your intended orders before the transition period begins at 3:15 PM.
Q11d. During which part of CAS can I place a market order?
Market orders are accepted only during CAS Session 1 (3:20 PM – 3:25 PM). From 3:25 PM onward (Session 2), only limit orders are accepted, and no modification or cancellation of market orders is allowed.
Q11e. Can I modify or cancel my orders during CAS?
Limit orders can generally be modified or cancelled during the order entry sessions, but market orders cannot be modified or cancelled once Session 2 begins (from 3:25 PM). Session 2 itself closes at a random time between 3:28 PM and 3:30 PM to prevent last-moment order manipulation.
Q11f. Has the intraday square-off timing changed because of CAS?
Yes, for the equity segment. Intraday product square-off timing has been revised from 3:10 PM to 3:00 PM.
Q11g. Has the F&O (derivatives) square-off timing changed?
No — there is no change to the F&O square-off timing. Equity derivatives trading continues until 3:40 PM as before, and the derivatives closing price methodology remains unchanged.
Comparison With the Old Method
Q12. How was the closing price determined before CAS?
Previously, the closing price was the Volume Weighted Average Price (VWAP) of all trades executed in the last 30 minutes of continuous trading. VWAP gives more weight to higher-volume trades:
VWAP = Σ(Price × Volume of each trade) ÷ Total Volume
Q13. What was the problem with the VWAP method?
Even though VWAP accounted for trade volume, it was based only on whatever trades actually happened to occur in the final 30 minutes. During periods of low liquidity or high volatility, a handful of trades could disproportionately swing the closing price, making it less representative of the stock's true supply-demand balance.
Q14. How does CAS solve this?
CAS pools all eligible buy and sell interest — not just executed trades — into one auction and finds the price that satisfies the maximum matchable quantity. This is meant to produce a closing price that better reflects the full market's demand and supply rather than being skewed by a few last-minute trades.
Q15. Quick comparison table
Why SEBI Made This Change
Q16. Why did SEBI introduce CAS?
The closing price isn't just a number — it feeds into benchmark index calculations (Nifty 50, Sensex), mutual fund and ETF NAV computation, F&O contract settlements, and portfolio valuations. SEBI wanted a mechanism that more accurately reflects genuine market consensus at day's end. Key objectives include:
● Better price discovery — pooling all orders into one auction captures fuller market demand and supply
● Fair and transparent pricing — everyone submits orders in the same window under the same rules
● Improved execution of large orders — a common liquidity pool makes it easier to match big trades without excessive market impact
● Lower tracking error for passive funds — a more representative close helps index funds and ETFs track benchmarks more precisely
● Global alignment — major exchanges like the NYSE and London Stock Exchange already use closing auctions
Practical Implications
Q17. Does CAS apply to my mutual fund or ETF investments?
Indirectly, yes. Since fund NAVs are calculated using stock closing prices, a more accurate CAS-derived closing price should make NAV calculations more reliable, particularly for index funds and ETFs tracking benchmarks made up of F&O-enabled stocks.
Q18. Does CAS affect intraday traders?
Yes — intraday positions in cash must now be squared off earlier by 3:00 PM, since regular trading itself ends at 3:15 PM.
Q19. What happens to stocks not covered by CAS?
They continue operating exactly as before — continuous trading until 3:30 PM, with the closing price calculated via the existing last-30-minutes VWAP method — until SEBI decides to expand CAS coverage.
Q20. Will more stocks be added to CAS over time?
The framework is being rolled out in phases, starting with F&O-enabled stocks. Investors should watch for further exchange notifications on expanded coverage.
Q21. What price band is applicable during CAS?
A fixed price band of ±3% of the reference price is applicable during CAS. Orders outside this band are not permitted for EQUITY segment.
The price band for all stock futures contracts will be set at ±3% of the reference price computed post 3:15pm during normal market hours.
Q22. Are orders in the Closing Auction Session (CAS) subject to margin requirements?
Yes, orders placed during the Closing Auction Session (CAS) are subject to applicable margin requirements at the order level. However, limit orders carried forward from the Continuous Trading Session (CTS) to CAS are exempt from margin checks. If such carried forward limit orders are modified during CAS, they will then become subject to applicable margin requirements at the order level.
Key Takeaways
● CAS is a 15-minute order-collection auction (3:15–3:30 PM) with price confirmation by 3:35 PM, applicable to F&O-enabled stocks from 3 August 2026.
● The closing price is now an equilibrium price discovered via auction matching, not a VWAP of recent trades.
● Regular trading for F&O stocks now ends at 3:15 PM; derivatives trading extends to 3:40 PM; a post-close session runs 3:50–4:00 PM.
● Stop Loss, IOC, and Disclosed Quantity orders are not permitted during CAS; market orders are allowed only in Session 1.
● The goal is a more accurate, transparent, and manipulation-resistant closing price — aligned with global exchange practices.
● Non-F&O stocks are unaffected for now and continue using the VWAP method.
This note is for informational purposes only and does not constitute investment advice. Trading timings and mechanisms are subject to further updates from SEBI and the exchanges — always verify current rules with official NSE/BSE circulars before trading.
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