SEBI Revises CAS Framework, Changes Derivatives Settlement Norms

The framework for the Closing Auction Session (CAS) was updated by SEBI on Thursday. The trading hours have been changed, as has the method for calculating settlement prices for index and stock derivatives contracts.

According to SEBI’s circular, the 10 minute closing auction session will take place from 3:30 pm to 3:40 pm on all trading days under the modified framework, while trading in index and stock derivatives will last until 3:45 pm with a few exceptions for expiring index derivatives contracts. Additionally, a significant shift is concerned with the resolution of expiring derivatives contracts, which will now be determined by a Volume Weighted Average Price (VWAP) approach that takes into account the final 30 minutes of continuous trade.

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A major modification concerns the settlement of expiring derivatives contracts. Instead of utilizing the closing auction price, SEBI has mandated that settlement prices will be determined using the Volume Weighted Average Price (VWAP) of the underlying index or stock over the last 30 minutes of nonstop trading.

Other than those pertaining to the conversion of an unexecuted iceberg and limiting orders from continuous trading to the closing auction session, the revised regulations will go into effect on December 7, 2026. From February 8, 2027, the transition arrangements for these orders will be put into effect.