Until August 2026, the closing price of a stock in India’s equity cash market was generally based on the volume-weighted average price, or VWAP, of trades during the final 30 minutes of continuous trading. For stocks covered by the first phase of the new framework, that changed from 3 August 2026. Their close is now discovered through a separate Closing Auction Session, or CAS.
That matters even to traders who never buy the cash stock. Closing prices feed index calculations and derivative settlement, while equity derivatives continue trading during CAS. So the cash market can still be discovering its official close while futures and options react to that information. SEBI has also highlighted the importance of closing prices for derivatives settlement, index computation and mutual fund NAV determination.
This blog explains CAS, the Pre-Open Auction Session, or PAS, and the less obvious ways these auctions can matter on options expiry.
CAS & PAS updates
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CAS · Closing Auction SessionPAS · Pre-Open Auction Session Source: official sebi.gov.in pages
What Is the Closing Auction Session (CAS)?
The Closing Auction Session (CAS) is a separate end-of-day auction used to determine the official closing price of eligible stocks in the cash market.
In simple terms, CAS gives the market a dedicated process for deciding where a stock should officially close for the day.
What Changed With CAS?
Before CAS, the closing price of a stock was generally calculated using the volume-weighted average price (VWAP) of trades executed during the final 30 minutes of continuous trading.
Under CAS, the closing price is instead determined through a separate auction held after continuous trading ends.
So the basic change is:
| Earlier system | CAS |
| Closing price calculated from the final 30-minute VWAP | Closing price discovered through a separate auction |
| Based on trades already completed near the close | Based on a dedicated end-of-day price-discovery process |
The exact auction timings and how the final price is selected are covered in the next section.
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Which Stocks Are Covered by CAS?
CAS was introduced in India on 3 August 2026 in phases.
In the first phase, it applies to cash-market stocks on which derivative contracts are available. Securities outside the CAS framework continue to follow the existing closing-price methodology.
Why Was CAS Introduced?
SEBI introduced CAS to strengthen the way closing prices are discovered in the market.
The framework is intended to:
- Concentrate more liquidity around the market close;
- Improve closing-price discovery;
- Make it easier to execute large orders near the close;
- Provide a more transparent closing benchmark; and
- Help passive funds transact closer to the official closing price, which may reduce tracking error.
In short, CAS changes the closing price from something calculated from recent trades into something discovered through a dedicated closing auction.
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Advantages and Disadvantages of CAS
| Advantages | Disadvantages / Trade-offs |
| Better price discovery through a dedicated closing auction | Closing prices become more complex to track |
| Concentrates liquidity near the market close | Indicative auction prices can change sharply before the final close |
| Improves large-order execution by bringing buy and sell interest together | Cash and derivatives follow different mechanics after 3:15 PM |
| Creates a transparent closing benchmark with equal access to the auction | Live index and indicative closing index can temporarily differ |
| Helps passive funds trade near the official close, potentially reducing tracking error | Expiry-day settlement adds complexity, and SEBI is reviewing this interaction |
| Can reduce dependence on trades spread across the final VWAP window | Order handling differs during CAS, including separate price bands and no Market Price Protection |
How Does CAS Work From 3:15 PM to 3:35 PM?
For CAS-eligible securities, continuous trading ends at 3:15 PM and the closing process moves into a 20-minute auction.
| Time | What happens |
| 3:15–3:20 PM | Reference-price calculation and transition from continuous trading |
| 3:20–3:25 PM | Limit and market orders can be entered, modified or cancelled |
| 3:25–3:30 PM | Only limit orders can be entered, modified or cancelled |
| 3:28–3:30 PM | System-driven random closure can occur |
| 3:30–3:35 PM | Order matching and trade confirmation |
| Until 3:40 PM | Equity derivatives continue trading |
The CAS reference price is normally the VWAP of trades from 3:00 PM to 3:15 PM. The auction operates within a price band of plus or minus 3% from that reference price. Only limit and market orders are allowed; stop-loss and iceberg orders are not.
How Is the CAS Closing Price Chosen?
The exchange system follows a fixed sequence:
- Maximum executable quantity: It identifies the price at which the most shares can be matched.
- Minimum unmatched quantity: If there is a tie, it selects the price with the fewest unmatched shares.
- Closest to the reference price: If the tie remains, the price closest to the CAS reference price is chosen.
- Exact midpoint: If two prices are equally close, the reference price is used.
- No equilibrium price: The reference price becomes the closing price.
So, the CAS close is determined through an auction process, not simply by the last traded price at 3:15 PM.
Source: SEBI
What Is PAS and How Is It Different From CAS?
PAS, or the Pre-Open Auction Session, discovers an opening price before normal continuous trading begins.
From 7 September 2026, the revised cash-market PAS follows this structure:
| Time | PAS activity |
| 9:00–9:05 AM | Market and limit orders allowed |
| 9:05–9:10 AM | Limit orders only |
| 9:08–9:10 AM | System-driven random closure can occur |
| 9:10–9:12 AM | Opening-price determination and matching |
| 9:12–9:15 AM | Transition to continuous trading |
Its equilibrium logic is similar to CAS: maximum executable volume comes first, followed by minimum order imbalance. If a further tie remains, PAS uses the previous day's closing price, adjusted where relevant, while CAS uses its auction reference price.
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Lesser-Known PAS Detail: Options Do Not Have an F&O Pre-Open
The derivatives pre-open session applies to index futures and single-stock futures, but not options.
- Current-month futures are eligible for the session.
- Next-month futures also become eligible during the last five trading days before current-month expiry.
- Options start trading without a separate pre-open auction.
How Does CAS Affect Options Pricing?
CAS does not directly set an option premium. Options are not part of the closing auction and continue trading in the derivatives segment until 3:40 PM.
1. CAS Changes the Expected Closing Price
During CAS, the market is still discovering the official closing price of eligible stocks.
For an index, changes in the expected closing prices of its constituent stocks can also change where the index is expected to close.
2. Options Can React to That Change
An option’s value is influenced by the price of its underlying stock or index.
So if the expected closing level of the underlying changes during CAS, option premiums can also react while trading continues.
3. Why Expiry Day Matters More
On expiry day, the final closing level is also linked to settlement.
For index derivatives, settlement is based on the closing value of the underlying index.
For stock derivatives, the settlement reference is based on the volume-weighted average of the stock’s closing prices across exchanges.
4. Near-the-Money Options Can Be More Sensitive
If an option is trading close to its strike price, even a small move in the final closing level can matter.
It may decide whether the option expires in the money or out of the money, and how much intrinsic value remains at expiry.
Lesser-Known CAS Details Options Traders Should Know
1. The Live Index and Indicative Closing Index Can Differ
During CAS, NSE can show two different index values:
- Live index value: Based on prices from the continuous market.
- Indicative closing index: Estimates where the index could finally close based on the ongoing closing auction.
For CAS stocks, the indicative closing index uses their current auction price. For stocks outside CAS, it uses their VWAP from 3:00 PM onward.
This means the live index and the expected closing index can temporarily move differently.
On expiry day, this matters because derivative settlement depends on the final closing index, not simply the last live index value seen before CAS.
2. Stock Futures Get New End-of-Day Limits, Options Do Not
From 3:15 PM to 3:40 PM, stock futures operate within a plus or minus 3% range around a separately calculated futures reference price. Their Limit Price Protection, or LPP, is also recalibrated.
Options are treated differently. Their existing price-band and LPP methodology continues unchanged during CAS.
So the cash stock, its futures and its options may all track the same underlying, but their end-of-day trading controls are not identical.
3. Older Limit Orders Can Get Priority in CAS
CAS does not always start with a completely new order book.
Eligible limit orders that remain unexecuted at the end of continuous trading can carry forward into CAS. These orders receive higher time priority than new limit orders placed during CAS.
If a carried-forward order is modified, however, its time priority changes.
Stop-loss orders, iceberg orders and orders outside the CAS price band are not carried forward.
4. Market Price Protection Does Not Apply During CAS
Market Price Protection, or MPP, is not available during the cash-market CAS.
Instead, the auction operates within its own price band and other exchange risk controls.
This is different from LPP, which applies to derivatives and continues to operate under the rules set for futures and options.
The Expiry-Day Question SEBI Is Already Reviewing
The importance of CAS became much clearer on 13 August 2026, which was a weekly SENSEX options expiry day.
At 3:15 PM, the SENSEX CAS reference level was 77,829.60. The eventual CAS-derived closing level was 78,079.96, around 250 points higher. But what happened between those two points drew SEBI's attention.
What Happened During the Auction?
SEBI's 19 August ex-parte interim order highlighted three sharp movements in the indicative SENSEX level during CAS:
- 3:20:41 to 3:20:43: 77,661.40 to 78,023.42, a 362.02-point rise in just 2 seconds
- 3:24:08 to 3:24:20: 77,707.84 to 77,840.51, a 132.67-point rise in 12 seconds
- 3:25:49 to 3:26:17: 77,787.94 to 78,193.02, a 405.08-point rise in 28 seconds
The important point is that these were movements in the indicative auction level, not three equivalent moves in the final closing price.
SEBI examined the episode as a case of suspected manipulation during CAS. Since the 19 August order is an interim order based on prima facie findings, the observations should not be treated as a final determination of wrongdoing.
Why Did This Matter So Much on Expiry Day?
Normally, an indicative closing price moving during an auction is part of price discovery.
Expiry introduces another layer.
While CAS is still working out the cash-market closing prices, expiring derivatives remain tradeable. At the same time, their eventual settlement depends on the final closing level of the underlying index.
That creates a short but important overlap: the value that will help determine settlement is still being discovered while contracts linked to that value are still trading.
The 13 August episode therefore raised a broader market-structure question: should the closing auction price feed into derivative settlement in exactly the same way on expiry days?
SEBI Is Now Reviewing That Link
On 3 September 2026, SEBI announced that it would review the methodology for determining derivative settlement prices in light of the CAS rollout.
That distinction is important. CAS itself is one mechanism; the way its closing price is used for derivative settlement is another.
As of 11 September 2026, SEBI's published reports do not show a separate consultation paper proposing a revised CAS-linked settlement methodology. The latest official development remains the 3 September review announcement.
Until SEBI publishes that proposal, any assumption about how expiry settlement may eventually change would be premature.
CAS vs PAS: What Traders Should Remember
| Feature | PAS | CAS |
| Purpose | Discover opening price | Discover closing price |
| Main window | 9:00–9:15 AM | 3:15–3:35 PM |
| Tie-break reference | Previous/base close where applicable | CAS reference price |
| Random close | 9:08–9:10 AM | 3:28–3:30 PM |
| What follows | Continuous trading | Official close and post-close process |
| F&O connection | Pre-open applies to futures, not options | F&O continues trading until 3:40 PM |
| Main options relevance | Opening underlying/futures price discovery | Closing expectations and expiry settlement |
PAS and CAS use similar call-auction logic, but they solve different parts of the trading day.
What Should an Options Trader Watch During CAS?
During CAS, several market numbers can exist at the same time, and they do not always tell the same story.
An options trader may be looking at:
- The live spot or index value;
- The indicative equilibrium price of stocks in CAS;
- The indicative closing index;
- Futures prices;
- Option premiums; and
- The final official closing or settlement value.
Bottom Line
For years, 3:15 PM felt like the point where the cash market had said its final word.
CAS has changed that.
For eligible stocks, continuous trading may stop at 3:15 PM, but the official closing price is still being worked out. Meanwhile, futures and options continue trading, reacting to where that final close might land.
That makes the last part of the day much more interesting, especially on expiry.
The live index can show one number, the indicative closing index another, and option premiums can keep adjusting while the final settlement level is still taking shape. For an option sitting close to its strike, even a relatively small change can suddenly matter a lot.
And this story is still developing. SEBI is already reviewing how CAS-based closing prices should interact with derivative settlement.
So CAS is not just another exchange rule to memorise. It changes how the final minutes of the market should be read.
The bell may be getting closer, but after 3:15 PM, the market may still have one last price to discover.
Disclaimer: This article is for educational and informational purposes only and should not be considered investment, trading, legal, or regulatory advice. CAS, PAS, options pricing and settlement rules may be revised by SEBI, stock exchanges or clearing corporations from time to time. The information and examples in this article are based on publicly available information as of the date of publication and may change thereafter. Readers should refer to the latest official circulars and regulations before making any trading or investment decisions. Trading in derivatives involves substantial risk, and past market behaviour does not guarantee future results.
FAQs
What is CAS in the stock market?
The Closing Auction Session is a separate end-of-day call auction used to determine the official closing price of eligible cash-market stocks. Orders are collected and matched at an equilibrium price instead of relying only on the earlier last-30-minute VWAP method.
Does CAS affect options prices?
CAS does not directly determine option premiums. Its effect is indirect because changes in the expected cash-market close can alter expectations for the underlying index or stock settlement reference, influencing option pricing while the derivatives market remains open.
What is the difference between CAS and the pre-open auction session?
PAS discovers an opening price before continuous trading begins, while CAS discovers the closing price after continuous trading ends for eligible stocks. Both use call-auction logic, but their reference prices, timing and roles in the trading day differ.
How is the options settlement price determined on expiry day?
For index options, expiry settlement uses the closing value of the relevant underlying index, based on constituent closing prices. For stock derivatives, clearing corporations use a volume-weighted average of the underlying stock's cash-market closing prices across exchanges.