BSE shares slip 3% after exchange flags CAS-driven volume decline

BSE shares dropped over 3% to an intraday low of Rs 3,131 on Wednesday after the stock exchange acknowledged that the newly introduced Closing Auction Session (CAS) had resulted in lower trading volumes.

According to an ET report, equity derivatives turnover on the NSE and BSE fell to multi-month lows in August, with analysts attributing the decline to heightened volatility under the new Closing Auction Session (CAS) mechanism. The volatility prompted several market participants to scale back derivatives activity, particularly during the final half-hour of trading.

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"The decline in derivatives volumes is largely a result of the behavioural changes triggered by CAS," said Rajesh Palviya, head of research, Axis Securities.

As of August 2026, the BSE’s equity derivative turnover stood at Rs 32.2 lakh crore, making it the lowest level since June 2025. In the case of NSE, the total monthly equity derivative turnover was recorded at Rs 34.48 lakh crore, which is the lowest level since November 2023.

According to a report by Jefferies, August 2026 was dominated by expiry-day volatility following the introduction of CAS which has adversely impacted equity options turnover and contracts, which is negative for BSE and Groww.

Palviya also said that since the CAS was introduced, brokers have been squaring off positions earlier, around 3:05-3:10 pm, while traders have also been closing positions ahead of time to avoid heightened volatility in the final minutes of trading.

And this loss in volumes on a daily basis has compounded into a larger decline in monthly turnovers.

The Jefferies report also noted that BSE’s average daily traded turnover (ADTO) stood at Rs 187 billion in August 2026, down 26% month-on-month, partly due to the impact of CAS and an additional expiry in the base. An options trader cited uncertainty on expiry days as a key challenge under CAS, prompting option writers to stay away from the market.

CAS was implemented in Indian markets from August this year. It operates as a separate session of 20 minutes from 3.15 pm to 3.35 pm, during which the exchange first collects buy and sell orders and then matches them to determine a single official closing price for the stock.

Sebi Chairman Tuhin Kanta Pandey said last week that he does not foresee any changes to the mechanism, expecting participation to improve as investors become more familiar with the new process.

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Mehul Kothari, deputy vice-president at Anand Rathi Share and Stock Brokers said the shift in the expiry-day trading structure has reduced some of the very short-term speculative activity that was contributing significantly to options volumes.

(Disclaimer: Recommendations, suggestions, views and opinions given by the experts are their own. These do not represent the views of The Economic Times)