The National Stock Exchange issued two circulars detailing structural adjustments across its equity cash and derivatives segments starting December 7. Equity derivatives trading will run until 3:45 pm, while the equity cash Closing Auction Session will be condensed to a 10-minute window. To calculate closing values, the exchange will rely on a volume-weighted average price derived from trades occurring between 3:15 pm and 3:30 pm. Furthermore, the closing auction mechanism will be excluded for eligible derivative-linked securities specifically on the ex-date of a scheme of arrangement.
Key points
A price band of plus or minus 3% from the reference price will be enforced during the clo…: A price band of plus or minus 3% from the reference price will be enforced during the closing session.
Closing auctions will continue for securities with derivative contracts available across…: Closing auctions will continue for securities with derivative contracts available across any exchange.
Eligible derivative-linked securities will not participate in the closing auction on the…: Eligible derivative-linked securities will not participate in the closing auction on the ex-date of a scheme of arrangement.
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The National Stock Exchange (NSE) is set to overhaul Closing Auction Session (CAS) in the equity cash segment and trading modalities from December 7, announced the exchange on Friday, November 6. NSE has announced a set of changes to the closing price discovery process in the equity cash segment and trading modalities in the equity derivatives segment.
In its two separate circulars, NSE issued details of rules overhaul. The development has come days after the Securities and Exchange Board of India (SEBI) reviewed the Closing Auction Session, market timings and settlement methodology for derivatives contracts.
What will change from December 7?
The CAS duration will be shortened to 10 minutes. Additionally, the methodology for determining closing prices of eligible stocks will also be revised. Extension of derivatives trading hours to 3:45 pm.
Applicability of CAS
As per the NSE circular, CAS shall continue to be applicable on security on which derivatives contracts are available in any of the exchanges. However, CAS shall not be applicable “for security on which derivative contracts are available, “on the ex-date of a scheme of…
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