NSE revises trading hours, shortens closing auction session from December 7

New Delhi: The National Stock Exchange (NSE) will overhaul the Closing Auction Session (CAS) in the equity cash segment and revise trading modalities in the equity derivatives segment from December 7.

The changes follow a review by the Securities and Exchange Board of India (SEBI) of the closing auction session, market timings and settlement methodology for derivatives contracts.

Under the revised framework, the duration of CAS will be reduced to 10 minutes, while the methodology for determining closing prices of eligible stocks will also be changed.

Moreover, trading hours in the equity derivatives segment will be extended to 3:45 pm.

According to the NSE, CAS will continue to apply to securities for which derivatives contracts are available on any exchange.

However, CAS will not apply to such securities on the ex-date of a scheme of arrangement.

The reference price for securities covered under CAS will be determined using the volume-weighted average price (VWAP) of trades executed between 3:15 pm and 3:30 pm.

The applicable price band during CAS will be set at plus or minus 3 per cent of the reference price of the security.

Earlier in October, SEBI issued the final CAS framework with retaining the 30-minute VWAP methodology for determining expiry-day settlement prices of index and stock derivatives.

The market regulator had revised CAS timings and operational rules in the equity cash market.

Under SEBI’s framework, CAS will run from 3:30 pm to 3:40 pm on all trading days. It will begin with a one-minute reference-price calculation and transition period, followed by a phase allowing limit and market orders.

According to the exchange, only limit orders will be permitted in the subsequent phase.

The session will close randomly between 3:38 pm and 3:40 pm, followed by order matching.