{"id":18177,"date":"2026-08-10T03:07:56","date_gmt":"2026-08-10T09:37:56","guid":{"rendered":"https:\/\/shoonya.com\/blog\/?p=18177"},"modified":"2026-08-18T22:45:38","modified_gmt":"2026-08-19T05:15:38","slug":"nse-closing-auction-session","status":"publish","type":"post","link":"https:\/\/shoonya.com\/blog\/nse-closing-auction-session\/","title":{"rendered":"NSE Closing Auction Session Week One: \u20b91,200 Crore to \u20b91,550 Crore in Early Volumes"},"content":{"rendered":"<div id=\"ez-toc-container\" class=\"ez-toc-v2_0_87 counter-hierarchy ez-toc-counter ez-toc-custom ez-toc-container-direction\">\n<div class=\"ez-toc-title-container\"><p class=\"ez-toc-title\" style=\"cursor:inherit\"><\/p>\n<\/div><nav><ul class='ez-toc-list ez-toc-list-level-1 ' ><li class='ez-toc-page-1 ez-toc-heading-level-2'><a class=\"ez-toc-link ez-toc-heading-1\" href=\"https:\/\/shoonya.com\/blog\/nse-closing-auction-session\/#What_the_First_Two_Days_Showed_About_CAS_Volumes\" >What the First Two Days Showed About CAS Volumes<\/a><\/li><li class='ez-toc-page-1 ez-toc-heading-level-2'><a class=\"ez-toc-link ez-toc-heading-2\" href=\"https:\/\/shoonya.com\/blog\/nse-closing-auction-session\/#Why_the_Closing_Auction_Session_Started_With_Thin_Liquidity\" >Why the Closing Auction Session Started With Thin Liquidity<\/a><\/li><li class='ez-toc-page-1 ez-toc-heading-level-2'><a class=\"ez-toc-link ez-toc-heading-3\" href=\"https:\/\/shoonya.com\/blog\/nse-closing-auction-session\/#How_the_Cash-Derivatives_Timing_Gap_Affected_Traders\" >How the Cash-Derivatives Timing Gap Affected Traders<\/a><\/li><li class='ez-toc-page-1 ez-toc-heading-level-2'><a class=\"ez-toc-link ez-toc-heading-4\" href=\"https:\/\/shoonya.com\/blog\/nse-closing-auction-session\/#Why_Arbitrage_Funds_and_SLBM_Are_Part_of_the_CAS_Challenge\" >Why Arbitrage Funds and SLBM Are Part of the CAS Challenge<\/a><\/li><li class='ez-toc-page-1 ez-toc-heading-level-2'><a class=\"ez-toc-link ez-toc-heading-5\" href=\"https:\/\/shoonya.com\/blog\/nse-closing-auction-session\/#What_Could_Make_the_Closing_Auction_Session_More_Stable\" >What Could Make the Closing Auction Session More Stable?<\/a><\/li><li class='ez-toc-page-1 ez-toc-heading-level-2'><a class=\"ez-toc-link ez-toc-heading-6\" href=\"https:\/\/shoonya.com\/blog\/nse-closing-auction-session\/#Final_Outlook\" >Final Outlook<\/a><\/li><\/ul><\/nav><\/div>\n<nav style=\"--separator: &quot;\/&quot;\" class=\"wp-block-breadcrumbs\" aria-label=\"Breadcrumbs\"><ol><li><a href=\"https:\/\/shoonya.com\/blog\/\">Home<\/a><\/li><li><a href=\"https:\/\/shoonya.com\/blog\/latest-news\/\">News<\/a><\/li><li><span aria-current=\"page\">NSE Closing Auction Session Week One: \u20b91,200 Crore to \u20b91,550 Crore in Early Volumes<\/span><\/li><\/ol><\/nav>\n\n\n<meta charset=\"UTF-8\">\n<meta name=\"viewport\" content=\"width=device-width, initial-scale=1.0\">\n<link rel=\"preconnect\" href=\"https:\/\/fonts.googleapis.com\">\n<link 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transform .2s ease;}\n  .faq-item[open] .faq-icon{background:var(--forest);}\n  .faq-item[open] .faq-icon::after{opacity:0;transform:rotate(90deg);}\n  .faq-a{margin:0;padding:0 20px 19px;color:#33413B;animation:faqIn .22s ease;}\n  @keyframes faqIn{from{opacity:0;transform:translateY(-4px);}to{opacity:1;transform:none;}}\n\n  \/* source *\/\n  .source{margin:30px 0 0;padding-top:18px;border-top:1px solid var(--line);font-size:14px;color:var(--grey);word-break:break-word;}\n  .source a{color:var(--copper-deep);}\n\n  \/* disclaimer *\/\n  .disclaimer{margin:18px 0 0;padding:18px 22px;background:var(--mint-2);border:1px solid var(--line);border-radius:14px;font-size:14px;line-height:1.6;color:var(--grey);}\n  .disclaimer strong{color:var(--steel);}\n\n  footer{max-width:100%;margin:26px auto 54px;padding:24px;display:flex;align-items:center;justify-content:space-between;gap:16px;flex-wrap:wrap;}\n  footer .brand b{font-size:18px;}\n  footer .fn{font-size:13px;color:var(--grey);text-align:right;}\n\n  @media (max-width:640px){\n    body{font-size:16.5px;}\n    .masthead{padding:32px 24px 28px;}\n    .body{padding:28px 24px 34px;}\n    h2{margin-top:36px;}\n    footer .fn{text-align:left;}\n  }\n\n.entry-title,\n.post-title,\n.single-post h1,\nh1.entry-title{color:#000!important;}\n<\/style>\n\n\n\n  <svg width=\"0\" height=\"0\" style=\"position:absolute\" aria-hidden=\"true\">\n    <symbol id=\"inf\" viewBox=\"0 0 100 100\">\n      <path d=\"M25,50 C25,34 41,34 50,50 C59,66 75,66 75,50 C75,34 59,34 50,50 C41,66 25,66 25,50 Z\" fill=\"none\" stroke=\"currentColor\" stroke-width=\"13\" stroke-linecap=\"round\" stroke-linejoin=\"round\"><\/path>\n    <\/symbol>\n  <\/svg>\n\n  \n\n    <div class=\"body\">\n      <p class=\"intro\">India&#8217;s new Closing Auction Session completed its first week with traders adjusting to a different way of setting closing prices in the cash market. Early sessions showed thin participation and sharp last-minute price moves, while market participants flagged liquidity, arbitrage, and derivatives-market gaps as the main pressure points.<\/p>\n\n      <h2><span class=\"ez-toc-section\" id=\"What_the_First_Two_Days_Showed_About_CAS_Volumes\"><\/span>What the First Two Days Showed About CAS Volumes<span class=\"ez-toc-section-end\"><\/span><\/h2>\n      <p>Early CAS activity remained modest compared with the size of India&#8217;s broader cash market. Kamlesh Shroff, National President of the Association of National Exchange Members of India, said NSE saw about \u20b91,200 crore of CAS volume on the first day and \u20b91,550 crore on the second day, while BSE participation was considerably smaller.<\/p>\n\n      <div class=\"tbl-title\">First-Week Snapshot<\/div>\n      <div class=\"tbl-scroll\">\n        <table>\n          <thead>\n            <tr>\n              <th>Exchange or Session Detail<\/th>\n              <th>First-Week Fact<\/th>\n            <\/tr>\n          <\/thead>\n          <tbody>\n            <tr>\n              <td>NSE CAS volume on Day 1<\/td>\n              <td><span class=\"num\">Around \u20b91,200 crore<\/span><\/td>\n            <\/tr>\n            <tr>\n              <td>NSE CAS volume on Day 2<\/td>\n              <td><span class=\"num\">Around \u20b91,550 crore<\/span><\/td>\n            <\/tr>\n            <tr>\n              <td>BSE participation<\/td>\n              <td>Considerably smaller than NSE<\/td>\n            <\/tr>\n            <tr>\n              <td>Cash market timing shift<\/td>\n              <td>CAS began after 3:15 p.m.<\/td>\n            <\/tr>\n          <\/tbody>\n        <\/table>\n      <\/div>\n\n      <p>Shroff said low early participation is natural when a new market mechanism is introduced and that participation generally grows as market participants learn the process and become more comfortable placing orders in the auction window.<\/p>\n\n      <h2><span class=\"ez-toc-section\" id=\"Why_the_Closing_Auction_Session_Started_With_Thin_Liquidity\"><\/span>Why the Closing Auction Session Started With Thin Liquidity<span class=\"ez-toc-section-end\"><\/span><\/h2>\n      <p>The Closing Auction Session is designed to improve closing-price discovery by using an auction mechanism rather than the last traded price in continuous trading. In practice, the first week showed that the mechanism needs enough participants on both sides for the closing price to settle smoothly.<\/p>\n\n      <blockquote class=\"quote\">\n        <p>Greater depth is needed on the opposite side of passive fund flows, since CAS is a closed-auction mechanism rather than a continuous price-discovery system.<\/p>\n        <cite>\u2014 Venkatachalam Shanmugam, Partner, MCube<\/cite>\n      <\/blockquote>\n\n      <p>When depth is limited, larger trades can move the closing price, making broader participation essential for cleaner outcomes.<\/p>\n\n      <h2><span class=\"ez-toc-section\" id=\"How_the_Cash-Derivatives_Timing_Gap_Affected_Traders\"><\/span>How the Cash-Derivatives Timing Gap Affected Traders<span class=\"ez-toc-section-end\"><\/span><\/h2>\n      <p>The biggest structural concern from the first week came from the split between the cash and derivatives markets. After 3:15 p.m., the cash market moved into the Closing Auction Session, but derivatives continued trading, leaving participants to manage two related markets under different conditions simultaneously.<\/p>\n      <p>Manjuri Mazumdar, who heads the sales trading desk at Emkay Global Financial Services, said this created a significant problem for arbitrage funds. Such funds need to execute both cash and derivatives legs together, and the CAS structure made that harder when one side entered auction mode while the other kept trading.<\/p>\n\n      <h2><span class=\"ez-toc-section\" id=\"Why_Arbitrage_Funds_and_SLBM_Are_Part_of_the_CAS_Challenge\"><\/span>Why Arbitrage Funds and SLBM Are Part of the CAS Challenge<span class=\"ez-toc-section-end\"><\/span><\/h2>\n      <p>Mazumdar also pointed to India&#8217;s weekly options market and the relatively underdeveloped Securities Lending and Borrowing Mechanism as important differences from other Asian markets. The SLBM is the framework that allows participants to lend and borrow securities, often to support short-selling, hedging, and arbitrage strategies.<\/p>\n      <p>For arbitrage desks, the friction is practical. If liquidity thins during the closing auction while the derivatives market keeps moving, managing price differences between the two markets becomes considerably more complicated.<\/p>\n\n      <h2><span class=\"ez-toc-section\" id=\"What_Could_Make_the_Closing_Auction_Session_More_Stable\"><\/span>What Could Make the Closing Auction Session More Stable?<span class=\"ez-toc-section-end\"><\/span><\/h2>\n      <p>Named market participants did not call for CAS to be scrapped. Their focus was on participation, liquidity, and possible adjustments to how the auction works.<\/p>\n      <ul class=\"doc\">\n        <li>Mazumdar said the framework could become more stable over the next <strong>10 to 15 days<\/strong> as participants adapt<\/li>\n        <li>She also said the market may need tweaks, especially around the <strong>price range<\/strong> within which prices can move during the auction window<\/li>\n        <li>Shanmugam said <strong>liquidity<\/strong> will ultimately decide how well the mechanism works, with broader participation essential for cleaner price discovery<\/li>\n      <\/ul>\n\n      <h2><span class=\"ez-toc-section\" id=\"Final_Outlook\"><\/span>Final Outlook<span class=\"ez-toc-section-end\"><\/span><\/h2>\n      <div class=\"outlook\">\n        <p>The first week of the Closing Auction Session showed both the promise and the friction of changing how Indian benchmark closing prices are formed. Thin volumes, cash-derivatives timing gaps, and limited auction depth made the transition uneven, but named market participants framed the early sessions as an adjustment phase rather than a structural failure. Whether participation improves enough to reduce last-minute volatility will be the key marker to watch over the coming weeks.<\/p>\n      <\/div>\n\n <p class=\"source\">\n    <strong>Source:<\/strong>\n        NDTV Profit\n    \n<\/p>\n\n      <div class=\"disclaimer\">\n        <strong>Disclaimer:<\/strong> This content is for education and awareness purpose only and should not be considered investment advice or a recommendation. Investments in securities markets are subject to market risks. Read all the related documents carefully before investing.\n      <\/div>\n    <\/div>\n","protected":false},"excerpt":{"rendered":"<p>India&#8217;s new Closing Auction Session completed its first week with traders adjusting to a different way of setting closing prices in the cash market. Early sessions showed thin participation and sharp last-minute price moves, while market participants flagged liquidity, arbitrage, and derivatives-market gaps as the main pressure points. What the First Two Days Showed About &hellip; <a href=\"https:\/\/shoonya.com\/blog\/nse-closing-auction-session\/\" class=\"more-link\">Continue reading<span class=\"screen-reader-text\"> &#8220;NSE Closing Auction Session Week One: \u20b91,200 Crore to \u20b91,550 Crore in Early Volumes&#8221;<\/span><\/a><\/p>\n","protected":false},"author":17,"featured_media":18179,"comment_status":"closed","ping_status":"closed","sticky":false,"template":"","format":"standard","meta":{"_acf_changed":false,"footnotes":"","_members_access_role":[],"_members_access_error":""},"categories":[1082],"tags":[10356,10336,10355],"class_list":["post-18177","post","type-post","status-publish","format-standard","has-post-thumbnail","hentry","category-latest-news","tag-cas","tag-closing-auction-session","tag-nse-closing-auction-session"],"acf":[],"yoast_head":"<!-- This site is optimized with the Yoast SEO plugin v28.4 - https:\/\/yoast.com\/product\/yoast-seo-wordpress\/ -->\n<title>NSE Closing Auction Session Week One: Volumes and Key Gaps<\/title>\n<meta name=\"description\" content=\"NSE&#039;s Closing Auction Session opened with \u20b91,200 crore and \u20b91,550 crore volumes. 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