Securities and Exchange Board of India has proposed major reforms in the closing auction session to improve transparency and efficiency in settlement and trading. Public comments are open until October 3, 2026.
The consultation paper suggests two settlement options for futures and options contracts. The blended VWAP method would combine trades from the last 30 minutes of continuous trading with 10 minutes of closing auction session, weighted by traded value. The CTS VWAP method would rely only on trades from the last 30 minutes of continuous trading and may serve as an interim step before blended VWAP is adopted.
Two alternatives for market timings have been outlined. Option A keeps continuous trading until 3.30 pm followed by closing auction until 3.40 pm and derivatives until 3.45 pm. Option B ends continuous trading at 3.15 pm with closing auction until 3.25 pm and derivatives until 3.30 pm.
SEBI has proposed stopping dissemination of indicative index values during closing auction while continuing to display individual security prices. Order cancellation rules will allow withdrawal within 1% of reference price. Orders beyond 1% up to 3% cannot be cancelled but can be modified to improve price. Iceberg orders will be fully disclosed in the auction book.
Seven proposals are open for consultation until October 3.
