Closing Auction Session (CAS)

About Closing Auction Session (CAS)

• Closing Auction Session (CAS) is an auction-based session to determine the official closing price of eligible F&O stocks.
• Introduced by: It is introduced by Securities and Exchange Board of India (SEBI).
• Implemented by: The National Stock Exchange (NSE) and BSE are implementing CAS simultaneously.
• Effective from: It is effective from 3 August 2026.
• Aim: It’s aims is to improve price discovery, transparency, execution of large orders, and ensure that the closing price better reflects overall market demand and supply.
• Working Mechanism:
  • Start of the Auction Session: The Closing Auction Session (CAS) begins at 3:15 P.M. for eligible stocks in the Futures and Options (F&O) segment.
    • At the start of the session, the system calculates a reference price based on the Volume Weighted Average Price (VWAP) of trades executed during the last 30 minutes of the Continuous Trading Session (CTS).
    • This reference price serves as the starting point for the auction.
  • Order Collection: During the auction window, eligible buy and sell orders are collected instead of being executed immediately.
    • The order entry window closes at a randomly selected time between 3:28 P.M. and 3:30 P.M. to discourage last-second order placement and support a fair price discovery process.
  • Price Discovery: Then, the stock exchange determines a single equilibrium price, which is the price at which the maximum number of shares can be traded.
    • This price better reflects the overall market demand and supply.
  • Trade Execution and Closing Price: All eligible trades are executed at the equilibrium price.
    • This equilibrium price becomes the official closing price of the stock for that trading day.
• Key Features:
  • Auction-based Price Discovery: The official closing price is determined through a single equilibrium price.
  • Initial Coverage: CAS initially applies only to stocks with available F&O contracts.
  • Existing Method for Others: Securities not covered under CAS will continue with the existing VWAP-based closing price methodology.

About Continuous Trading Session (CTS)

• Order Execution:
  • In the Continuous Trading Session (CTS), buy and sell orders are matched and executed immediately whenever prices match.
  • In contrast, the Closing Auction Session (CAS) first collects all eligible orders and executes them together at a single equilibrium price.
• Closing Price:
  • Earlier, the official closing price was determined using the Volume Weighted Average Price (VWAP) of trades executed during the last 30 minutes of CTS.
  • Under CAS, the closing price is determined through an auction-based mechanism. 
  • Applicability: Securities not covered under CAS will continue to trade under the existing CTS.