Under the first option, the expiry settlement price would be based on a blended volume-weighted average price (VWAP) calculated using the final 30 minutes of continuous trading and the 10-minute CAS. The second option proposes using only the last 30-minute continuous trading VWAP as an interim measure. The proposed framework would apply to both index and stock derivatives.
SEBI has also proposed discontinuing the dissemination of the indicative index value (IIV) derived from indicative equilibrium prices during CAS, while allowing security-level indicative equilibrium prices to continue. The regulator said the indicative index value could be mistaken for an actual index level and influence trading decisions despite not representing executed trades.
On market timings, one option would extend continuous trading in CAS stocks until 3:30 pm, conduct the auction between 3:31 pm and 3:40 pm, and allow derivatives trading until 3:45 pm. The second option would retain a 3:15 pm cut-off for CAS stocks, with the auction ending by 3:25 pm and derivatives trading closing at 3:30 pm.
SEBI has proposed reducing the transition period between continuous trading and CAS from five minutes to around one minute, while shortening the post-CAS derivatives trading window from 10 minutes to five minutes.
The regulator has also proposed retaining the existing 3% price band during CAS. Orders placed beyond 1% from the reference price would not be cancellable during the auction and could only be modified to improve the price.
Pending iceberg-order quantities at the end of continuous trading may be converted into normal limit orders with the full quantity disclosed in the CAS order book.
“SEBI's consultation paper on CAS acknowledges the practical challenges and seeks a balanced approach to the costs and benefits. Importantly, it also reflects an open mind by seeking broader market feedback before finalising the updated framework by giving appropriate options,” said Uttam Bagri, managing director, BCB Brokerage Pvt Ltd.
The market regulator introduced CAS for stocks in the derivatives segment from August 3, 2026. It is seeking public comments on the proposals by October 3, 2026.
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