SEBI's circular of 15 October 2026 changes how expiry-day settlement prices are set for index and stock derivatives. Nifty 50 contracts are one example: the index closed at 23,053.10 on 30 Oct 2026 in our records. The settlement price becomes the volume weighted average price (VWAP) of the last 30 minutes of the continuous session, in place of the closing auction price, from 7 December 2026.
The circular follows a consultation paper dated 12 September 2026. It modifies the CAS circular of 16 January 2026, which introduced the closing auction in the equity cash segment, and the settlement paragraphs of the Master Circular for Stock Exchanges and Clearing Corporations dated 30 December 2024. Where the circular does not restate an earlier rule, the table says so.
What changed
The table follows paragraphs 4 to 6 of the circular. The Before column is filled only where the circular states the earlier position.
| Measure | Before | After | Effective date |
|---|---|---|---|
| Expiry-day settlement price, index and stock derivatives | Closing price under the CAS framework of 16 January 2026 | Index: VWAP of the constituent securities over the last 30 minutes of the continuous session in the cash segment. Stock: VWAP of the underlying stock over the same 30 minutes across all stock exchanges. | 7 December 2026 |
| CAS timings | Not restated in this circular | A 10-minute session from 3:30 pm to 3:40 pm on all trading days: reference price and transition at 3:30 pm (1 minute), order entry for limit and market orders from 3:31 pm (5 minutes), limit orders only from 3:36 pm, random close between 3:38 pm and 3:40 pm | 7 December 2026 |
| Reference price for CAS | Not restated in this circular | VWAP of trades in the last 15 minutes of the continuous session. If no trade in that window, the last traded price of the day. If no trade all day, the previous close. | 7 December 2026 |
| Derivatives trading hours and price band | Not restated in this circular | Stock and index derivatives trade until 3:45 pm, but expiring index contracts cease at 3:30 pm on expiry days. Stock futures price band from 3:30 pm to 3:45 pm follows the CAS band, and dynamic price band flexing does not apply in that window. | 7 December 2026 |
| Post-close session in the cash segment | Not restated in this circular | 3:50 pm to 4:00 pm, with trades executed at the closing price | 7 December 2026 |
| Order types in CAS | Not restated in this circular | Only limit and market orders. No new iceberg orders and no stop loss orders. Orders placed in CAS need margin at order level, except carried-over limit and iceberg orders that are not modified. | 7 December 2026 |
| Unexecuted orders from the continuous session | Not restated in this circular | Unexecuted limit orders carry forward to CAS, except stop loss orders and orders outside the CAS price band. Unexecuted iceberg orders carry forward as fully disclosed limit orders with lower time priority. | 8 February 2027 |
Source: SEBI circular HO/47/11/11(3)2025-MRD-POD2/I/23843/2026, dated 15 October 2026, paragraphs 4 and 6.
Try it: Stock Profit and Loss Calculator lets you enter an entry price, an exit price, a quantity and charges, and shows the net profit or loss.
The trading day from 7 December 2026
From 7 December 2026 the closing auction runs from 3:30 pm to 3:40 pm, and derivatives trading runs to 3:45 pm. The timeline shows the session times in order. The entry windows and the random close are from paragraph 4.2 of the circular.
- 3:30 pmReference price set and transition from continuous session to CAS (1 minute)
- 3:31 pmOrder entry opens for limit and market orders (5 minutes)
- 3:36 pmLimit orders only; no cancellation of market orders
- 3:38 to 3:40 pmOrder entry closes at a random time, system driven
- 3:45 pmDerivatives trading ends (expiring index contracts end at 3:30 pm on expiry days)
- 3:50 pmPost-close session in the cash segment at the closing price
Who this affects
Traders in stock and index derivatives are affected first, because the expiry settlement price of those contracts comes from the new method. Index contracts, including those on the Nifty 50, settle on an index value built from the VWAP of its constituents. Stock exchanges and clearing corporations must amend their bye-laws, rules and standard operating procedures, and the SOP changes are due within seven days of the circular (paragraphs 5 and 8.1).
What to do
- Note the two effective dates: 7 December 2026 for the timings, the reference price and the settlement method, and 8 February 2027 for the carry-forward of iceberg orders.
- Check the exchange notices for your segment. The circular asks the exchanges to bring its provisions to the notice of market participants and to publish them on their websites (paragraph 8.2).
- If you place orders between 3:30 pm and 3:45 pm, map your order types to the new windows: limit and market orders from 3:31 pm, limit orders only from 3:36 pm, and a random close between 3:38 pm and 3:40 pm.
- On an expiry day, check the settlement price that the clearing corporation publishes. From 7 December 2026 it is based on the VWAP of the last 30 minutes of the continuous session, not on the CAS closing price.
What has not changed
The closing auction still sets the closing price of each security, and the post-close session from 3:50 pm to 4:00 pm still trades at that price (paragraphs 4.2.3 and 4.2.6). For a price return over a period from our NSE records, the stock return calculator works from closes and excludes dividends.
