SEBI changes expiry-day settlement under its new closing auction

Markets No. 77 17 October 2026 · 2 min read

On 15 October 2026, SEBI changed its new closing auction. From 7 December, index options and stock futures expiring that day will settle using the volume-weighted average price (VWAP) of the last 30 minutes of normal trading, instead of the auction's closing price.

The closing auction began on 3 August. It stops normal trading at 3:15 pm and matches orders at a single closing price. Initially, this price was also used to settle derivatives expiring that day. But SEBI found that options trading became more concentrated around the auction, rather than less.

In the NSE's 26 expiries before the auction and 5 after it, the value of expiring index options traded per minute rose from ₹126 crore in the last half-hour of normal trading to ₹190 crore during the auction. On BSE, it doubled from ₹141 crore to ₹289 crore. Traders were pricing options using the auction's indicative price before actual trades had established the final price.

The auction itself stays, but the timings change. Normal trading will run until 3:30 pm, followed by a 10-minute auction that starts with a 1-minute pause and ends at 3:40 pm. Index derivatives will trade until 3:45 pm, except contracts expiring that day, which stop at 3:30 pm. From 8 February 2027, large orders split into smaller visible pieces, called iceberg orders, will also enter the auction unless traders opt out.

For options traders, expiry-day settlement returns to the old method. For index fund investors, the auction's closing price will still determine the value of their holdings at the end of the day. SEBI calls the change to expiry settlement interim and will review it after at least a year.

SEBI's closing auction now starts at 3:30 pm and runs 10 minutes

The last minutes of the trading day on NSE and BSE, before and after SEBI's change. Normal trading gets 15 minutes back and the auction session shrinks from 20 minutes to 10.

Normal tradingPauseClosing auctionExpiring contracts stop

The auction closes at random in its last 2 minutes. Since 3 August, orders are taken to 3:30 pm and matched by 3:35 pm. From 7 December 2026, other index and stock derivatives trade to 3:45 pm.

SEBI circulars of 16 January 2026 and 15 October 2026 · From 3 Aug 2026 and from 7 Dec 2026

Timeline of SEBI's closing auction in 2026: on 16 January SEBI created it, also to settle expiring derivatives; on 3 August it went live; on 12 September SEBI asked for views after expiry days turned volatile; on 15 October SEBI moved expiry-day settlement back to the old method from 7 December.

Value of expiring index options traded a minute on expiry days, in ₹ crore, NSE and BSE: whole day before the auction 176.74 and 167.60; last half hour before 126.31 and 141.48; whole day after 119.36 and 110.46; auction minutes after 189.82 and 288.94.

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