SEBI’s new closing auction from 7 December: 3:30–3:40 CAS, F&O till 3:45

On 15 October 2026 SEBI finalised a review of the closing auction session it introduced in August. From Monday 7 December the close of the Indian market looks different on NSE and BSE: a later, shorter auction, a longer derivatives session, and a new way of settling expiring contracts. If you trade the close, run an expiry strategy or build charts from exchange data, all three matter.

Based on SEBI’s circular of 15 October 2026, “Review of certain aspects of the Closing Auction Session, market timings and settlement methodology for derivatives contracts”, and the exchange summaries that followed. Exchanges publish their detailed operating procedures separately; check the latest NSE and BSE circulars before you trade the new session.

What changes on 7 December

The closing auction session (CAS) arrived in the cash market on 3 August 2026. In it, eligible stocks stopped continuous trading at 3:15 pm and spent twenty minutes, until 3:35 pm, in an auction that set their official close. Index derivatives closed at 3:30 pm, and expiring contracts settled on the auction closing price.

The October circular keeps the auction but moves and shortens it, lets derivatives trade beyond it, and stops using it for expiry settlement:

The new auction, minute by minute

The revised auction has the same idea as before — collect orders, then match them all at one price — packed into ten minutes:

Three details catch people out. The reference price is no longer a mystery number: it is the VWAP of trades in the last fifteen minutes of continuous trading, falling back to the day’s last traded price if there were none in that window, and to the previous close (adjusted for corporate actions) if the stock did not trade at all. Stop-loss and iceberg orders cannot be placed during the auction; an order that relies on either has to be rethought for the last ten minutes. And the random close means nobody can time a last-second order: entry shuts at an unpredictable moment between 3:38 and 3:40 pm.

If auctions are new to you, the opening call auction works on the same principle; our trading-hours guide walks through the pre-open session that the closing auction mirrors.

F&O: open till 3:45 pm

Index and stock futures and options now trade until 3:45 pm on every normal trading day — fifteen minutes after the cash market’s continuous session ends. During the auction a derivatives trader can still hedge or adjust a position while the cash close is being discovered, and from 3:30 to 3:45 pm the price band for stock futures is aligned with the auction’s band, without dynamic flexing.

Expiry day is the exception. Index contracts expiring that day stop trading at 3:30 pm; non-expiring index contracts and all stock derivatives, expiring or not, continue to 3:45 pm. On a Nifty Tuesday expiry, then, the weekly contract stops at 3:30 pm while next week’s contract and the stock futures keep trading. Our expiry-day guide covers what else changes in the data that afternoon.

Expiry settles on a 30-minute VWAP

This is the change with the most money attached. Under the January 2026 framework, an expiring contract settled on the auction’s closing price. Concerns about how that price could be influenced at the very end of the day led SEBI to consult in September and change the method:

• Stock derivatives settle on the underlying share’s volume-weighted average price over the last 30 minutes of continuous trading — 3:00 to 3:30 pm — across all stock exchanges.
• Index derivatives settle on an index value computed from the VWAPs of its constituents over the same 30 minutes.
• Exchanges must publish an indicative VWAP and indicative index value in real time during that window, so the settlement level is visible as it forms.

Two prices now describe an expiry day: the settlement price (a 30-minute average) and the closing price (the auction’s single print). They will usually be close and will sometimes differ. A position that was in the money at the close can settle out of it, and a strategy that assumed “the close is the settlement” will reconcile wrongly. If VWAP is unfamiliar, our VWAP and anchored VWAP explainer shows how the average is built.

February 2027: carried-over orders

One part of the circular starts later, on 8 February 2027. Unexecuted limit orders still open at 3:30 pm will move into the auction automatically, unless they are stop-loss orders or priced outside the auction’s band. Pending iceberg orders will move across as fully disclosed limit orders unless the trader opted out when placing them. Carried-over orders rank ahead of fresh auction orders, iceberg conversions rank behind other carried-over orders, and modifying a carried-over order resets its time priority. Until then, an order you want in the auction has to be entered during the auction.

What it means for charts and data

Your charts will see the new close before your strategy does. Five practical points for the week of 7 December:

1. Session templates. Charting platforms that cut the session at 3:30 pm will drop the last fifteen minutes of F&O trading. In NinjaTrader 8, set the trading-hours template for Indian F&O to end at 3:45 pm; in AmiBroker, check the session end used by your intraday filters. Our NinjaTrader 8 setup guide shows where the template lives.
2. The last cash candle. Continuous trading now runs to 3:30 pm for every stock, so the 3:15–3:30 pm bars that were empty for auction stocks will fill again. The auction itself prints as a single matched trade after 3:40 pm, not as a run of ticks.
3. Close versus settlement. Store both. Backtests of expiry strategies should settle on the 30-minute VWAP from 7 December onward, and on the auction close between August and December.
4. Indicators that use the close. Daily closes before and after 7 December are produced by different mechanisms. For most strategies the difference is noise; for anything that trades the close itself, mark the date in your data.
5. Tick data tells you which is which. With every trade and its timestamp you can rebuild the 3:00–3:30 pm VWAP yourself and check it against the published settlement. Snapshot data cannot do that — one reason we cover in what tick-by-tick data really means.

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