Closing auction session (CAS): how the Nifty and Sensex close and settle

The closing auction session is how NSE and BSE set the closing price of F&O stocks since 3 August 2026, under a SEBI circular of January 2026. Instead of averaging the last 30 minutes of trades, the exchange stops continuous trading at 3:15 PM, collects buy and sell orders, and fills them all at the single price that matches the most shares. That price is the official close.

3:00–3:15 PM normal trading sets the reference price. 3:15–3:20 PM trading halts. 3:20–3:25 PM market and limit orders are accepted. 3:25–3:30 PM limit orders only, with order entry stopping at a random moment between 3:28 and 3:30 PM. 3:30–3:35 PM orders are matched and the closing price is published. Stock and index derivatives keep trading until 3:40 PM.

The Nifty 50 is not auctioned itself. Its closing value is calculated from its constituents’ closing prices, and for F&O stocks those now come from the closing auction’s single equilibrium price instead of the last 30 minutes’ VWAP. So the index close is auction-driven, and it can differ from the last traded level at 3:14 PM. Since the auction settled in, the median gap between the 3:14 PM Nifty level and its close has been 23.8 points.

Nifty and Sensex options settle on the index closing value, and that value is now built from the constituents’ closing auction prices rather than a 30-minute VWAP. On a weekly or monthly expiry day, the closing auction is the event that sets the final settlement price and decides which strikes finish in the money. Stock futures and options settle on the stock’s own auction price.

In phase one, only Category I stocks — those with active F&O contracts — close through the auction. Category II, every other listed stock, keeps the old volume-weighted average price (VWAP) close. Because most index heavyweights are Category I, the Nifty 50, Sensex and Bank Nifty closes are all effectively set by the auction.

While orders are being collected, between 3:20 and 3:30 PM, the exchange publishes an indicative equilibrium price for each stock — the price the auction would clear at if it ended then — along with the order imbalance. The index itself stays at its 3:14 PM level until the auction clears. On expiry day, the expiring options give a second, tradable read of where the index will settle.

On expiry day, the expiring options themselves price it. With almost no time value left, the at-the-money strike plus the call price minus the put price is the options market’s own estimate of the settlement, and it keeps trading while the index is frozen. Read at 3:27 PM, before the index shows the auction price, it has landed a median 6.4 points from the actual Nifty close across 11 expiries. Sensex options trade more thinly, and the same reading has been a median 81.9 points off. It is a description of what options are priced at, not a forecast MarketCue makes.

Yes. In the year before the auction, the median Nifty move from 3:14 PM to the close was 13.2 points. Since the auction settled in it has been 23.8 points, because the close is now a single auction price rather than a 30-minute average.

Continuous trading in F&O stocks stops at 3:15 PM, so the index has no new prices to calculate from until the auction clears. It shows the 3:14 PM level until the auction price is published, while Nifty futures and options keep trading.