India’s newly introduced closing-auction system is linked to extreme, fast swings in the options market, with one reported move reaching about 4,000% within roughly 15 minutes. The surge then reverses quickly, so gains are created and wiped out in the same short window.
The changes are intended to improve end-of-day pricing, but the effects appear to depend on liquidity in the auction order book. NDTV reports BSE records about 4.46 billion rupees ($46.7 million) of closing-auction turnover on Thursday, compared with NSE’s 13.77 billion rupees on Tuesday. With a comparatively smaller pool of orders, the price impact of large trades can be amplified. Bloomberg similarly describes the mechanism as producing “wild” swings, focusing on the timing and volatility seen in options trades rather than attributing blame to any single exchange.
Across outlets, the shared theme is that the auction mechanism is working differently than expected, showing outsized options moves over minutes.
