SEBI’S CLOSING AUCTION SESSION (CAS): REFORMING PRICE DISCOVERY IN CASH AND DERIVATIVES

F&O Market Close Pushed to 3:40 PM, Effective Aug 3, 2026

The National Stock Exchange of India (NSE) has issued a circular revising trading timings in the Equity Derivatives Segment to align with the Closing Auction Session (CAS) introduced in the Equity Cash Segment.

The changes take effect from August 3, 2026, and are limited to timing and related operational alignment while the core trading framework remains unchanged.

Revised timings for Equity Derivatives segment:

What is changing?

• From August 3, 2026, NSE will extent trading hours of the Equity Derivatives Segment by 10 minutes, with market now closing at 3:40 PM instead of 3:30 PM.
• Consequently, the 30-minute (Volume-Weighted Average Price) VWAP window (3:00 PM to 3:30 PM) used for determining derivatives closing prices will shift from current end-of-day period to 3:10 PM -3:40 PM.

The change has been introduced to synchronize the derivative segment with the CAS framework being implemented in the Equity cash segment and to ensure greater consistency in end-of-day market operations across both segments.

Key Takeaways:

• Equity Derivatives trading hours are extended by 10 minutes to align the F&O market with the Closing Auction Session (CAS) being implemented in the Equity Cash Segment.
• Pre-open session and market opening procedures remain unchanged (pre-open begins at 9:00 AM; market opens at 9:15 AM).
• The trade modification window continues to be available until 4:15 PM.
• Closing prices for derivatives will still be determined using the VWAP methodology over the last 30 minutes of trading; the VWAP window shifts to 3:10 PM–3:40 PM.
• Price band and pre-trade risk-control measures introduced for CAS in the cash segment will apply to the Equity Derivatives Segment as well, from August 3, 2026.

What remains Unchanged?

• Market opening time remains 9:15 AM
• Pre-open session timings remain unchanged and will continue to begin at 9 AM
• The trade modification facility will continue to be available until 4:15 PM
• The methodology for determining derivatives closing remains unchanged and will continue to be based on VWAP.
• The VWAP calculation will continue to use the last 30 minutes of trading activity, only the reference window has shifted due to the extended market close.
• Existing market opening procedures and system-driven open mechanisms remain unchanged

Applicability of CAS-Related Risk Controls and Price Band Provisions

The circular also states that provisions relating to price bands and pre-trade risk controls introduced in connection with the Closing Auction Session will apply to the Equity Derivatives Segment.

The inclusion of these provisions is intended to maintain consistency between the cash market and derivatives market during the implementation of the new closing auction framework.

Market participants are therefore required to take note of the applicable risk management measures and operational controls introduced alongside the Closing Auction Session.

Summary

NSE’s update is an operational alignment to ensure consistency between cash and derivative segments with the introduction of the Closing Auction Session. Opening procedures, trade modification timelines, and the VWAP-based closing price methodology remain intact. The only substantive change is a 10-minute extension of the derivatives market close and the corresponding VWAP window adjustment.

Reference: NSE circulars:

NSE/FAOP/74467 dated May 29, 2026

NSE/CMTR/73362 dated March 18, 2026

NSE/CMTR/72394 dated January 19, 2026