Closing Auction Session (CAS): Key Details Every Investor Should Know

With the introduction of the Closing Auction Session (CAS) for F&O-linked stocks from 3 August 2026, investors will notice several changes beyond just the revised market timings. Here are some important aspects of CAS that can impact order placement, price discovery, and trade execution. 

How is the Closing Price Decided?

For stocks covered under CAS, the closing price will be determined through an auction process instead of the existing closing price calculation methodology. The auction aims to discover an equilibrium price—the price at which the maximum buy and sell orders can be matched. If no equilibrium price is discovered, the reference price will be considered the closing price. 

Example: Suppose the auction order book for HDFC Bank shows that the highest executable quantity can be matched at ₹2,050. In this case, ₹2,050 becomes the equilibrium price and therefore the stock's closing price. If no equilibrium price is discovered, the reference price would be treated as the closing price. 

What is the Reference Price?

The reference price forms the basis for the closing auction.

• It is calculated using the Volume Weighted Average Price (VWAP) of trades between 3:00 PM and 3:15 PM.
• If no trades take place during this period, the day's Last Traded Price (LTP) is used. 
• If there are no trades during the day, the previous day's closing price becomes the reference price. 

Example: Assume Reliance Industries records a VWAP of ₹1,500 between 3:00 PM and 3:15 PM. The exchange will use ₹1,500 as the reference price for the Closing Auction Session. 

Fixed 3% Price Band During CAS

To ensure orderly price discovery, a fixed price band of ±3% of the reference price will apply during the closing auction.

• Orders can only be placed within this range.
• Orders outside the permitted price band will be automatically cancelled by the exchange.
• The price band remains static throughout the auction session. [CAS circular | PDF]

Example: If the reference price for ICICI Bank is ₹1,400, investors can place orders only between ₹1,358 and ₹1,442. An order entered at ₹1,460 would be cancelled by the exchange for exceeding the permitted range. 

What is Random Close?

A key feature of CAS is the random close mechanism.

Order entry will stop at a random time between 3:28 PM and 3:30 PM, preventing last-minute attempts to influence the closing price and ensuring fairer price discovery. 

Example:

An investor planning to place a closing auction order in Infosys at 3:29:50 PM may find that order entry has already stopped at 3:28:45 PM due to the random close mechanism. 

Are New Orders Allowed During the Transition Period?

No. Between 3:15 PM and 3:20 PM, new order entry and order modification are not permitted.

What Order Types Are Allowed During CAS?

The order types permitted vary across the auction session:

• 3:20 PM to 3:25 PM: Both market and limit orders can be entered. [CAS circular | PDF]
• After 3:25 PM: Only limit orders can be added, modified, or cancelled. 
• Stop-loss and disclosed quantity orders are not allowed during CAS. 
• Algo market and limit orders are permitted.
• IOC (Immediate-or-Cancel) orders are allowed during CAS.
   

Example: An investor can place a market order at Axis Bank at 3:22 PM. However, if they try to place a new market order at 3:27 PM, it will not be accepted because only limit orders are permitted after 3:25 PM. 

How Does Order Modification Affect Priority?

Investors should be careful when modifying orders during the auction.

• Modifying the order price changes the order's time priority. 
• Increasing the order quantity also results in a change in time priority. 
• Reducing the quantity without changing the price does not affect time priority. 

Example: An investor places a buy order for TCS at ₹3,800 at 3:21 PM. If they change the order price to ₹3,805 at 3:24 PM, the order loses its earlier queue position and receives a new time priority.
 

What Happens to Pending Orders?

During the transition from continuous trading to CAS:

• Limit orders within the applicable price band are carried forward to the auction session. 
• Stop-loss orders and disclosed quantity orders are cancelled. 
• Orders outside the revised CAS price band are automatically cancelled. 

Example: Suppose an investor has the following orders in the State Bank of India (SBI):

• A limit buy order within the CAS price band – the order continues into CAS.
• A stop-loss order—the order gets canceled.
• A limit order outside the revised CAS price band—the order is automatically canceled.
   

What Happens to Unmatched IOC, EoS, and GFD Orders?

At the end of the auction:

• Unmatched IOC orders are cancelled after the matching process is completed. 
• Unexecuted End of Session (EoS) orders are cancelled when the closing session is disseminated. 
• Unexecuted Day orders are not cancelled and are carried forward to the post-close session. 

Example: An investor places an IOC order to buy 1,000 shares of Larsen & Toubro (L&T). If only 700 shares are matched during the auction, the remaining 300 shares will be cancelled automatically. A Day order, however, will move to the post-close session if it remains unexecuted.
 

Are CAS Orders Subject to Margin Requirements?

Yes. Orders entered during the Closing Auction Session are subject to applicable margin requirements at the order level. However:

• Limit orders carried forward from the Continuous Trading Session (CTS) to CAS are exempt from fresh margin checks.
• If such carried-forward orders are modified during CAS, margin validation will apply. 

Example: If an investor carries forward a limit order in Bharti Airtel from the regular trading session into CAS without any modification, no fresh margin validation may be required. However, modifying the order during CAS will trigger margin checks.
 

What Happens After CAS?

The closing price discovered through the auction becomes the official closing price and will be used for the post-close session in eligible securities. 

Example: If the CAS determines the closing price of Asian Paints at ₹3,200, investors participating in the post-close session will transact using ₹3,200 as the closing price.
 

What About Non-F&O Stocks?

There is no change for non-derivative securities. Continuous Trading Session (CTS) for non-F&O stocks will continue until 3:30 PM under the existing mechanism. 

Example: If a stock is not part of the F&O segment, such as a non-derivative small-cap stock, it will continue to trade under the existing market-closing framework until 3:30 PM.
 

F&O Closing Price Calculation Remains Unchanged

While the trading hours for equity derivatives are being extended to 3:40 PM, the method of calculating the closing price remains unchanged. The closing price for stock and index derivatives will continue to be based on the VWAP of trades executed during the last 30 minutes of trading (3:10 PM to 3:40 PM). 

Example: Even if the equity closing price of Reliance Industries is determined through CAS, the closing price of Reliance Futures will continue to be calculated using the VWAP of futures trades executed between 3:10 PM and 3:40 PM.
 

Key Takeaway

The Closing Auction Session introduces an auction-based mechanism for determining closing prices in F&O-linked stocks, with the objective of improving transparency and price discovery. Investors should pay particular attention to the reference price methodology, 3% price band, random close mechanism, permitted order types, margin requirements, and treatment of pending orders to ensure a smooth trading experience under the new framework.

Note: The stock names and prices used in the examples below are for illustration purposes only. The prices are hypothetical and do not represent current market prices.