SEBI Closing Auction Session Revamp Oct 15, 2026: Expiry Settlement Moves to 30-Minute VWAP From December 7

The SEBI closing auction session is being reworked. A circular dated October 15, 2026 resets the auction’s timings, changes how leftover orders flow into it, and moves expiring stock and index derivatives to settlement on the volume-weighted average price (VWAP) of the last 30 minutes of continuous trading, rather than the auction closing price. Most of it kicks in from December 7, 2026. For the day-to-day market picture, see our Stock Market Today India hub.

Educational content only. Not investment advice. Details are taken from the SEBI circular and the news reports linked in this article.

What changed in the SEBI closing auction session

SEBI brought the closing auction session (CAS) into the equity cash segment through a circular dated January 16, 2026, with the aim of making closing-price discovery more transparent. That framework also tied the expiry-day settlement prices of stock and index derivatives to the auction’s closing prices. After a consultation paper on September 12, 2026, and input from its Secondary Market Advisory Committee, the regulator has now reworked several pieces of it.

Under the new schedule, the auction is a separate 10-minute session from 3:30 pm to 3:40 pm every trading day:

• 3:30 pm, one minute: exchanges work out the reference price and shift orders across from continuous trading.
• 3:31 pm, five minutes: both limit and market orders can go in.
• 3:36 pm, four minutes: only limit orders are accepted, and market orders can’t be modified or cancelled any more.
• Random close: order entry shuts at a moment the system picks between 3:38 pm and 3:40 pm.

The reference price is the stock’s VWAP over the last 15 minutes of continuous trading. Fresh iceberg orders and stop-loss orders aren’t allowed in the auction.

Derivatives timings and the new expiry settlement rule

Index derivatives keep trading until 3:45 pm, except contracts expiring that day, which stop at 3:30 pm. Stock derivatives trade until 3:45 pm every day, expiry days included. The cash-market post-close session, where trades go through at the closing price, runs from 3:50 pm to 4:00 pm.

Settlement is the bigger shift. On expiry day, expiring index contracts settle on the index value computed from the VWAP of its constituent stocks over the last 30 minutes of continuous trading. Expiring stock contracts settle on the underlying’s VWAP over that same half hour, across all exchanges. Exchanges have to publish an indicative index value and indicative stock VWAP in real time during that window. BusinessLine reported that the advisory committee pushed to keep this earlier method rather than a blended formula, after worries about sharp price swings during the auction, particularly on expiry days.

What happens to orders that don’t fill

Limit orders still pending when continuous trading ends will carry into the auction, except stop-loss orders and anything priced outside the auction’s price bands. Unexecuted iceberg orders inside the bands move across as fully disclosed limit orders, unless the trader opted out while placing them. Carried-over orders get better time priority than orders placed during the auction, and modifying one resets its priority. The circular says these order-transition rules start from February 8, 2027, later than the rest of the package, a split ET Markets also picked up.

Who feels this, and how

For futures and options traders, the key takeaway is that expiry-day settlement goes back to prices across the final half hour of normal trading, not a single auction print. A late burst of orders in the auction shouldn’t decide where expiring contracts settle any more. Trading in expiring index contracts also wraps up at 3:30 pm, before the auction even starts. For cash-market investors, a stock’s closing price still comes out of the auction, and the random close means nobody knows the exact second order entry ends. We covered the earlier reaction to the review in our post on the SEBI CAS review and broker stocks, and expiry and settlement basics are in our options trading for beginners in India guide.

Disclaimer: This article is for information and education only and is not investment advice or a recommendation to buy or sell any security. Consult a SEBI-registered adviser before making investment decisions.