NSE revamps closing auction, F&O rules

The National Stock Exchange (NSE) will implement a revised framework for the equity cash and derivatives segments from December 7, 2026. The overhaul follows an October 15, 2026 review of the closing auction session, market timings and derivatives settlement methodology by the Securities and Exchange Board of India. The changes span the timing and structure of the Closing Auction Session (CAS), trading hours in stock and index derivatives, the calculation of reference and closing prices, and the determination of final settlement prices of expiring contracts.

Under the revised framework, the CAS in the equity cash segment will run for 10 minutes from 3:30 pm to 3:40 pm on all trading days. From 3:30 pm to 3:31 pm, the exchange will calculate the reference price and transition from the continuous trading session. Between 3:31 pm and 3:36 pm, participants can enter, modify and cancel both market and limit orders, while from 3:36 pm to 3:40 pm only limit orders can be placed, modified or cancelled, and the order‑entry window will close randomly during the final two minutes.

Order matching and trade confirmation will occur between 3:40 pm and 3:45 pm, followed by a 3:45 pm to 3:50 pm transition period and a post‑close session from 3:50 pm to 4 pm. The CAS will apply to securities for which derivatives contracts are available on at least one stock exchange, subject to specified exceptions such as certain scheme‑of‑arrangement ex‑dates and days when an index circuit breaker halts trading for the remainder of the session.

For securities covered under CAS, the reference price will be calculated using the volume‑weighted average price (VWAP) of trades executed between 3:15 pm and 3:30 pm. If no trades occur in that window, the last traded price of the day will be used.

The closing price of eligible securities will be determined by the equilibrium price discovered during the auction. If no equilibrium price is determined, the reference price will be considered the closing price.

During CAS, only market and limit orders are permitted; stop‑loss, immediate‑or‑cancel, iceberg and disclosed quantity orders are not allowed. Eligible unexecuted limit orders from the continuous session will be carried into CAS, subject to the revised price band and other conditions, and will retain their original timestamps, giving them higher time priority than limit orders entered during CAS. Market orders are accepted only between 3:31 pm and 3:36 pm, cannot be modified or cancelled during the restriction period, and will be matched ahead of limit orders during the auction.

Orders outside the applicable CAS price band will not be carried forward, and any orders left unmatched after the auction will be cancelled. Trades executed during CAS cannot be cancelled.

In the equity derivatives segment, normal market trading in both stock and index derivatives will continue to start at 9:15 am. Stock derivatives will now trade until 3:45 pm on all trading days, including expiry days. Index derivatives will also trade until 3:45 pm on regular trading days, but contracts expiring on a given day will stop trading at 3:30 pm on their expiry day, while other index derivative contracts continue until 3:45 pm. The trade modification window for stock and index derivatives remains open until 4:15 pm.

Between 3:30 pm and 3:45 pm, stock and index futures will be subject to price bands of 3% above or below their respective reference prices. These reference prices will be based on the VWAP of trades in the relevant futures contracts between 3:15 pm and 3:30 pm.

For expiring index derivatives, the final settlement price will be based on the underlying index value calculated using the VWAP of constituent securities between 3 pm and 3:30 pm in the equity cash segment. For expiring stock derivatives, clearing corporations will determine the final settlement price using the VWAP of the underlying stock across all stock exchanges over the same 3 pm to 3:30 pm window. The daily closing price mechanism for derivatives will continue, with the VWAP calculation period revised to 3:15 pm to 3:30 pm.

The NSE will update reference price and price‑band dissemination schedules in the equity derivatives segment and make the functional changes available for testing in mock trading sessions. Members are expected to load updated contract files into their trading systems before the effective date of December 7, 2026.