The Securities and Exchange Board of India (SEBI) has revised its framework for closing auction sessions (CAS) and derivatives settlement. The changes include using volume-weighted average price (VWAP) calculations linked to the final part of regular trading and adjusting several related cut-off timings for cash-market trading and the CAS window.
According to reports, cash trading for stocks now runs until 3:30 pm, with CAS continuing until 3:40 pm. SEBI also restores a 30-minute VWAP approach for expiry settlements by using VWAP during the last half-hour of normal trading. Separately, outlets report that the reference price for the closing auction is derived from VWAP based on trades executed in the final portion of continuous trading in the cash market (described as either the last 15 minutes). Another element highlighted is that CAS runs as a separate 10-minute session on all trading days, along with revised order types and settlement timings effective from Dec 7.
