SEBI’s circular of 15 October 2026 revises how the equity cash market closes and how expiring stock and index derivatives are settled. The principal changes begin on 7 December 2026; the special rules for carrying unexecuted iceberg orders into the auction begin later, on 8 February 2027.
The revised end-of-day sequence
- 3:30–3:31 p.m.: the exchange calculates the reference price and transitions eligible orders from continuous trading to the Closing Auction Session (CAS).
- 3:31–3:36 p.m.: both limit orders and market orders may be entered.
- 3:36–3:40 p.m.: only limit orders may be entered. Market orders can no longer be modified or cancelled, and the system closes the auction randomly between 3:38 and 3:40 p.m.
- Until 3:45 p.m.: non-expiring index derivatives and all stock derivatives continue trading. An expiring index derivative stops at 3:30 p.m.
- 3:50–4:00 p.m.: the cash-market post-close session runs, with trades executed at the closing price.
For securities covered by CAS, the reference price is the volume-weighted average price (VWAP) of trades during the final 15 minutes of continuous cash-market trading. If there is no trade in that period, the day’s last traded price is used; if there is no trade that day, the previous day’s adjusted closing or base price applies.
Expiry settlement will use the last 30-minute VWAP
Expiring index derivatives
The settlement price will be based on the index value calculated using the last 30 minutes’ VWAP of the constituent securities during the continuous cash-market session.
Expiring stock derivatives
The clearing corporations will use the underlying stock’s last 30 minutes’ VWAP in the continuous cash-market session, calculated across all stock exchanges.
Exchanges must calculate and continuously disseminate indicative index values or stock VWAPs during that 30-minute window. This is important because the final settlement price is not the auction closing price; it is the specified 30-minute VWAP.
Order handling: what traders should notice
Only limit and market orders may be entered during CAS. New iceberg orders and stop-loss orders are not permitted. Unexecuted eligible limit orders at the end of continuous trading carry into CAS, while stop-loss orders and orders outside the CAS price band do not.
From 8 February 2027, an unexecuted iceberg order within the CAS price band will transition as a fully disclosed limit order unless the participant opted out when placing the original order. Transitioned iceberg orders rank behind other carried-over limit orders, but carried-over orders rank ahead of new CAS limit orders. Modifying a carried-over order changes its time priority.
Who is affected and what to do
- Investors and cash-market traders: review open orders before 3:30 p.m.; understand which orders carry into CAS and when market orders become irrevocable.
- Derivatives traders: distinguish the 3:30 p.m. expiry-day cut-off for expiring index contracts from the 3:45 p.m. close for other index contracts and all stock derivatives.
- Trading desks and algorithmic users: update clocks, order-state logic, auction controls, monitoring and end-of-day reconciliation before 7 December.
- Users of iceberg orders: decide whether such orders should transition to CAS and configure the placement-time opt-out before the 8 February 2027 phase.
- Finance and valuation teams: update expiry-day controls to use the applicable 30-minute VWAP methodology and preserve the exchange or clearing-corporation data used in reconciliations.
Reviewed on 19 October 2026. This is a general explanation of SEBI Circular HO/47/11/11(3)2025-MRD-POD2/I/23843/2026, not investment, trading or legal advice. Exchange operating guidelines should also be checked before implementation.