CAS crash: Nifty plunges 462 points in less than 30 seconds. Will Sebi’s review break trend?

Indian benchmark indices continue to see wild swings during the closing auction session (CAS), with Nifty seeing a sharp 2% drop in indicative price in less than 30 seconds before recovering some losses by the end of Tuesday’s weekly expiry session.

Nifty was trading at around 23,172 on Tuesday afternoon before normal trading stopped and closing auction session began. Immediately, Nifty’s indicative price saw a sharp spike to 23,342 at 3.20:01. But what followed was a sharp crash of around 462 points or nearly 2% from that level to 22,879 sharp at 3:20:30.

The benchmark index then recovered nearly 240 points to close at 23,119. Overall, the index fell around 54 points during the closing auction session, despite the wild swings seen during the special period.


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Sebi on CAS

Such expiry day swings in benchmark indices have been rampant since 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.

After the newly introduced system triggered massive market volatility and spooked investors, market regulator Sebi on Saturday proposed two options for determining expiry-day settlement prices for index and stock derivatives. The consultation paper also proposed changes to the timing of the continuous trading session (CTS), CAS and derivatives trading, along with additional measures to improve the new session.

What Jefferies says on CAS

Jefferies on Monday highlighted that CAS, which was introduced by Sebi in August, initially resulted in higher losses for domestic prop traders due to volatility in index prices during the last hour on expiry day.

Sebi’s latest consultation paper addressed concerns around CAS by changing settlement price of derivatives to volume weighted average (VWAP) or a blend between VWAP and CAS, discontinuing cancellations of limit orders placed beyond +/- 1% of reference price during CAS, reducing concerns around manipulation of settlement price, and unexecuted iceberg orders may be transitioned to CAS, increasing liquidity during the CAS window, the international brokerage said.

Also read | Jefferies says Sebi's proposed CAS changes will remove uncertainty, but still remains negative on BSE. Here’s why

"Our discussions with domestic prop traders indicate the return to VWAP-based derivative settlement price along with inability to cancel limit orders placed beyond +/-1% threshold should reduce end of period volatility on expiry days,” Jefferies said, noting that the last date to submit responses to Sebi’s consultation paper is October 3, so the implementation will likely be from October or November this year.

While options premium turnover and orders were adversely impacted during August 2026, both have recovered in September so far as option traders had a better understanding of CAS, according to the analysts.

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