The National Stock Exchange (NSE) is set to overhaul Closing Auction Session (CAS) in the equity cash segment and trading modalities from December 7, announced the exchange on Friday, November 6. NSE has announced a set of changes to the closing price discovery process in the equity cash segment and trading modalities in the equity derivatives segment.
In its two separate circulars, NSE issued details of rules overhaul. The development has come days after the Securities and Exchange Board of India (SEBI) reviewed the Closing Auction Session, market timings and settlement methodology for derivatives contracts.
What will change from December 7?
The CAS duration will be shortened to 10 minutes. Additionally, the methodology for determining closing prices of eligible stocks will also be revised. Extension of derivatives trading hours to 3:45 pm.
Applicability of CAS
As per the NSE circular, CAS shall continue to be applicable on security on which derivatives contracts are available in any of the exchanges. However, CAS shall not be applicable “for security on which derivative contracts are available, “on the ex-date of a scheme of arrangement”.
CAS methodology
The reference price for securities covered under CAS will be identified by using the volume-weighted average price (VWAP) of trades. These trades will be executed between 3:15 pm and 3:30 pm. The applicable price band during CAS will be +/-3% from the reference price of the security for CAS.
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