Closing Auction Session
Also written CAS · Closing Auction Session (CAS)
A 20-minute call auction session, from 3:15 pm to 3:35 pm, being phased in to determine the closing price of stocks that have derivative contracts, replacing the last-30-minutes VWAP method for them.
In plain language
The closing price of a stock is not just a number on a screen at the end of the day. It sets the next day's opening reference, feeds index calculations, and — for stocks with derivatives — decides how futures and options are marked to market and settled.
Until now, that price has come from the volume-weighted average price over the last thirty minutes of continuous trading. SEBI is phasing in a different method for stocks that matter most to the derivatives market: a short, separate call auction at the very end of the day, called the Closing Auction Session.
How it works
The workbook (Chapter 6, section 6.2.1) explains that the current closing price method is the Volume Weighted Average Price (VWAP) of trades in the last thirty minutes of the Continuous Trading Session. SEBI's circular dated 16 January 2026 introduces the Closing Auction Session (CAS), to be applied in a phased manner, starting with stocks on which derivative contracts are available.
CAS runs as a separate 20-minute session from 3:15 p.m. to 3:35 p.m., in four stages:
| Session | Particulars | Start time | Duration |
|---|---|---|---|
| 1 | Reference price calculation / transition from continuous trading to CAS | 3:15 p.m. | 5 min |
| 2 | Order entry for both limit and market orders | 3:20 p.m. | 5 min |
| 3 | Order entry for limit orders only; no modification/cancellation of market orders; random close in the last 2 minutes | 3:25 p.m. | 5 min |
| 4 | Order matching | 3:30 p.m. | 5 min |
The resulting price is the equilibrium price from this call auction, and it becomes the basis for: the post-close session, the next day's base price, the next day's morning block deal window, the end-of-day index value, the settlement of derivatives contracts, the mark-to-market margin computation, and mutual fund NAV computation.
A worked example
A large-cap stock has actively traded derivative contracts, so it falls under the first phase of CAS.
At 3:15 p.m., the exchange begins the reference price calculation and transitions the stock from continuous trading into the auction. From 3:20 to 3:25 p.m., traders can enter both limit and market orders. From 3:25 to 3:30 p.m., only limit orders can be entered or modified — market orders can no longer be changed — and in the last two minutes of this window the exchange applies a random close so no trader can time an order to the very last second. At 3:30 p.m., the system matches all eligible orders at a single equilibrium price, exactly as in a call auction, and by 3:35 p.m. the session ends.
That equilibrium price is now the day's official closing price. It feeds directly into the mark-to-market settlement of that day's open futures positions on the stock, and becomes the base price the exchange uses to set tomorrow's price bands.
Why NISM asks about it
Chapter 6 (Settlement Process, section 6.2.1, Closing Price) is where CAS appears, introduced as a phased replacement for the VWAP method for stocks with derivative contracts. Expect the exact timings (3:15 to 3:35 p.m., 20 minutes, four sub-sessions) and the list of what the closing price feeds — index value, derivatives settlement, MTM margin and mutual fund NAV among them.
Common exam traps
- CAS is being phased in, starting only with stocks that have derivative contracts — it does not immediately replace VWAP closing prices for every listed stock.
- The session is 20 minutes total, 3:15 to 3:35 p.m., split into four 5-minute stages — do not conflate it with the pre-open session, which runs at the start of the day.
- Market orders cannot be modified or cancelled in the third stage, and only limit orders may still be entered — a detail easy to reverse.
- The final price is an equilibrium price from a call auction, not simply the last traded price of the session.
- Do not confuse CAS with the ordinary end-of-day VWAP-based closing price, which remains the method for stocks CAS has not yet been extended to.
Check yourself
1.Under the T+1 settlement schedule, pay-out of funds and pay-out of securities take place respectively:
- a)By 11:00 am and by 1:30 pm
- b)By 1:30 pm and by 3:30 pm
- c)By 3:30 pm and by 1:30 pm
- d)Both by 1:30 pm
Show the answer
Answer: (b) By 1:30 pm and by 3:30 pm
By 1.30 pm — Pay-out of funds. By 3.30 pm — Pay-out of Securities.
The securities timing changed recently, and the reason is the direct pay-out reform: SEBI vide circular dated June 5, 2024 has mandated that the pay-out of securities be credited directly to the client account by the Clearing Corporations. As a consequence of the above, the timing of the payout of securities shall be revised from 1:30 PM to 3:30 PM.
The benefit: as a result of Direct Payout, the securities shall be credited to the clients' demat account on the same settlement day instead of one working day from the receipt of pay-out from the Clearing Corporation.
The rest of the T+1 schedule: by 7:30 AM completion of custodial confirmation · by 9:00 AM download of obligation files · up to 11:00 am pay-in of securities and funds, and valuation debit in case of non-delivery of securities · T+1 auction session · T+2 auction pay-in and pay-out, generally by 8:00 am.
The carve-out: the securities direct pay-out shall not be applicable to clients having arrangements with custodians registered with SEBI.
2.The penal interest that the Exchange or Clearing Corporation may levy on a member's funds pay-in shortage is:
- a)Not less than 0.07 percent per day
- b)Not less than 0.7 percent per day
- c)A flat 15 percent per annum
- d)Not less than 1 percent per month
Show the answer
Answer: (a) Not less than 0.07 percent per day
The Exchange/Clearing Corporation may levy a penal interest of not less than 0.07 percent per day on the pay-in shortage of the member.
On an annualised basis that is roughly 25%, which is why it is set as a daily rate — the point is to make even a one-day shortfall expensive.
Beyond the interest, the consequences escalate: members failing to fulfil their funds obligations (including STT/Stamp duty obligation and Capital Cushion requirement) by the scheduled date and time to Clearing Corporation shall render him liable for withdrawal of trading facility or such other actions including disciplinary actions.
In case of pay-in shortfall, the trading facility of the trading member shall be withdrawn, and the securities pay-out would be withheld if the shortfall is in excess of the amount specified by SEBI or the Clearing Corporation from time to time, or there are recurring fund shortages by the member within a certain period and for a certain amount.
And ultimately: if the funds are not brought in at any time by the funds defaulting member, the Clearing Corporation, at its discretion, will proceed to close out securities in the normal/auction market.
3.If on the auction day there are no sellers for a short delivery, the defaulting seller is charged:
- a)The settlement price on the auction day
- b)The highest price from the day of trading till the auction day, or 20% above the settlement price on the auction day, whichever is higher
- c)The highest price from the day of trading till the auction day only
- d)10% above the settlement price on the auction day
Show the answer
Answer: (b) The highest price from the day of trading till the auction day, or 20% above the settlement price on the auction day, whichever is higher
If on the auction day, there are no sellers for a particular short delivery, the Clearing Corporation/Clearing House will then carry out a process called "Close out". In this process, the seller will be charged with the highest price prevailing across the stock exchange from the day of trading till the auction day or 20% above the official closing price (settlement price) on the auction day, whichever is higher.
The "whichever is higher" is the design feature — it guarantees that failing to deliver is never cheaper than delivering, in either a rising or a falling market.
Option D describes a different case: where a company announces any corporate action and auction pay-out cannot be done on or before Record Date/Book closure minus 1 business day, shortages shall be directly closed out at the highest price prevailing across the Exchanges from the day of trading till the day of auction or 10% above the settlement price on the auction day, whichever is higher.
Two further variants: for block window and TFT segment, the position will be directly closed-out on settlement at the highest price prevailing across the Exchanges on the T day (till settlement minus one day) or 20% above the settlement price on the T day, whichever is higher. And for optional T+0, security shortages shall be directly closed out at 10% above the highest price of the day across all exchanges.
Where this is taught
Free preparation for NISM Series VIIRelated terms
- Adjustment factorThe ratio by which the strike price, market lot and position of an equity F&O contract are revised after a bonus, split, consolidation or rights issue, so the position's value stays the same.
- Equilibrium priceThe single uniform price at which a call auction matches the maximum quantity of shares, used to open trading or set the closing price when orders are batched instead of matched continuously.
- Mark to MarketThe daily settlement of a futures position at that day's closing price, so gains and losses are paid in cash every evening instead of accumulating until expiry.