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SEBI Unveils New Closing Price Discovery for Stocks
17 Jan
Summary
- Closing auction session (CAS) replaces VWAP for price discovery.
- CAS begins August 3, 2026, initially for stocks with derivatives.
- Aims for greater transparency and alignment with global practices.
The Securities and Exchange Board of India (SEBI) will launch a new closing auction session (CAS) in the equity cash segment on August 3, 2026. This move aims to make closing price discovery more transparent and robust, shifting from the current VWAP method used over the last 30 minutes of trading.
The CAS will be implemented in phases, beginning with stocks that have derivative contracts. This new mechanism is designed to mirror global practices, aggregating market interest into a single liquidity pool. It is expected to improve execution efficiency for large orders and support fair settlement for derivatives and indices.
Trading during the CAS will occur between 3:15 pm and 3:35 pm, incorporating phases for order entry and a limit-only period with random closure. The framework also includes adjustments for reference prices, price bands, and order types, with a phased rollout beginning in August 2026.
