Nifty's value doesn't change suddenly at 3:30 pm, NSE clarifies amid CAS confusion

After Nifty's last-minute 200-point surge following the introduction of the Closing Auction Session (CAS) on Monday sparked confusion among market participants, the NSE clarified that the benchmark index’s value does not change abruptly at the close but is determined through a defined process.

Stock exchanges introduced the new CAS system from August 3, changing the way closing prices are calculated for stocks included in the futures and options (F&O) segment. On the launch day, Nifty surged nearly 200 points in the final two minutes of trade as traders adjusted to India's new closing auction mechanism for large-cap stocks.

CAS Details

Under CAS, continuous trading in stocks that also have F&O contracts ends at 3:15 pm. However, this does not mean these stocks are closed for the day 15 minutes before the broader market shuts.


From 3:15 pm onwards, these stocks move into the CAS, a 20-minute auction process that runs until 3:35 pm to determine their official closing prices. Meanwhile, stocks that are not part of the F&O segment continue to trade as usual until 3:30 pm.

During the 20-minute auction window, buy and sell orders for eligible stocks are collected and matched at a single equilibrium price. This mechanism is aimed at improving price discovery and reducing the impact of last-minute trades on closing prices.

What NSE said on CAS

Closing prices play a crucial role in determining index values. Amid confusion over the sharp movement in Nifty after the introduction of CAS, the NSE clarified that the index value does not suddenly change at 3:30 pm and follows a defined calculation process.

The exchange said the index graph displayed during the CAS period needs to be interpreted correctly, as there is no sudden change in index value at market close. Since there is no continuous order matching between 3:15 pm and 3:30 pm, the index value remains constant as it is based on traded prices.

However, during this period, indicative values are displayed alongside the quotes. These values are derived from the equilibrium prices calculated continuously during the CAS window between 3:15 pm and 3:30 pm, the exchange said.

The NSE further clarified that both Indian exchanges maintain separate order books for the CAS, similar to the continuous trading session. As a result, individual stock prices on the two exchanges can differ, and since index values are calculated based on these stock prices, the index values can also vary.

On the first day of the CAS launch, the auction witnessed strong participation, with 515 trading members placing orders for 56,773 unique PANs, surpassing the participation seen in the long-established pre-open session, according to NSE.

BSE said the exchange saw active participation from more than 400 trading members across over 200 scrips on the launch day.

"The successful implementation of the Closing Auction Session marks an important milestone in strengthening the market closing processes. The Exchange expects enhanced participation in the Closing Auction Session in the coming days as market participants continue to gain familiarity with the newly introduced market functionality," BSE said.

Also read |Explained: What is CAS and what do new stock market timings mean for BSE, NSE traders?

Nithin Kamath on CAS

Zerodha CEO Nithin Kamath, in a recent post on X, explained that the shift to the Closing Auction Session (CAS) was aimed at addressing two key issues.

First, passive funds tracking indices need to execute large orders near the end of the trading day to match the closing price. These trades can influence prices while being executed, increasing tracking error. Kamath said the CAS mechanism is likely to help address this issue.

Second, large orders placed in the final few minutes of trading can disproportionately impact stock closing prices and, in turn, the indices they are part of. Since CAS pools all orders and matches them at a single equilibrium price, it becomes harder for individual trades to influence the closing price, he added.

Kamath noted that closing auctions are not a new concept globally, with major exchanges such as the New York Stock Exchange (NYSE) and London Stock Exchange (LSE) already using similar mechanisms to determine closing prices.

"Today, the closing price of a stock in India is based on the volume-weighted average price of trades during the last 30 minutes. Under CAS, buy and sell orders will instead be collected and matched at a single equilibrium price," Kamath said in a post on X in July.

However, he also cautioned that Zerodha could see some impact on its revenue after CAS comes into effect, adding that things would “get a little more complicated” from August 3 onwards.

Also read | Nithin Kamath warns closing auction session may hit Zerodha’s revenue from August 3

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