SEBI to introduce Closing Auction Session (CAS) for F&O stocks from August 3

The markets regulator Securities and Exchange Board of India (SEBI) will introduce a 20-minute Closing Auction Session (CAS) for stocks traded under the futures and options segment from August 3, this will replace the old Volume-Weighted Average Price (VWAP) closing price method.

CAS is a new 20-minute session which will be held between 3:15 pm and 3:35 pm to determine the closing prices of stocks under CAS. Until now, a stock’s closing price was determined on the VWAP of trades in the last 30 minutes.

During this session, the exchange will match buy and sell orders to determine a single closing price, called the Equilibrium Price.

The closing price will now be determined through an auction, not by averaging recent trades.

Since NSE and BSE will conduct separate auctions, the closing price of the same stock may differ slightly across the two exchanges.

Timings and rules from August 3 (only for stocks under CAS)

To make the closing prices more reliable and follow global best practices, SEBI is introducing the CAS method.

The reference price of a stock in CAS in the equity segment shall be determined based on the VWAP of the trades executed in the stock during the period 3:00 pm to 3:15 pm, BSE said in a circular.

In case no trade is executed in a stock during the period from 3:00 pm to 3:15 pm, the last traded price (LTP) of the stock during the day shall be taken as the reference price for CAS.

In case there is no trade during the day, the closing price of the stock of the previous trading day will be taken as the reference price for CAS and in case of corporate action, previous day’s closing price shall be the adjusted closing price or the base price, BSE noted in its circular.

BSE added that market orders will be given priority over limit orders.