NSE said the Closing Auction Session for F&O stocks saw strong participation with 515 trading members and 56,773 unique PANs, and explained the 200-point index surge as a normal part of the new price discovery process.
The National Stock Exchange on Monday issued a late-session clarification after the Nifty 50 jumped nearly 200 points during the first implementation of the Closing Auction Session (CAS) for stocks in the futures and options segment. The move surprised traders and triggered a divergence between cash and futures prices on several heavyweights.
The Nifty 50 closed at 24,774.30, up 390.70 points or 1.6%, with the bulk of the move occurring after the 3:15 p.m. continuous trading halt. ICICI Bank, HDFC Bank, Reliance Industries, Infosys, Bharti Airtel, and Bajaj Finance were among the most traded stocks during the session, according to exchange data.
NSE said the CAS was implemented under SEBI guidance to improve transparency and price discovery. The index graph did not show a sudden change at 3:30 p.m. because no actual trades occur between 3:15 p.m. and 3:30 p.m., the exchange said in a statement. “Orders are collected, modified, cancelled, and matched” during that window, while the exchange website displays an indicative index value based on equilibrium prices calculated during the CAS, even though no trades are taking place.
Both stock exchanges maintain separate order books for the CAS, similar to the continuous trading session. Because buy and sell orders differ by exchange, closing prices of individual stocks can diverge, which in turn affects index values. NSE noted that in a study of open prices from the pre-open call auction session over 2014-2024, there were more than 850,000 scrip-days where the open price difference exceeded 2%.
Participation on the first day was robust. NSE said 515 trading members placed orders for 56,773 unique PANs, compared with 403 members and 42,822 PANs in the pre-open call auction session, which has been in place for more than a decade. “Given the first day, the participation levels were very good,” the exchange said. “This is expected to mature and increase with time.”
The mechanism is designed to reduce manipulation at the close by aggregating buy and sell interest in a single auction. Heavyweights such as HDFC Bank (Alpha Score 37) and ICICI Bank (Alpha Score 57) saw elevated volumes, though the gap between cash and futures narrowed after the NSE clarification. Traders on the exchange floor said the large spike was partly a function of the new process and not a fundamental shift in demand.
The NSE's statement did not address whether the 200-point move itself was an outlier. The exchange said it expects the CAS to “become more mature” as participants adjust their order-placing behavior. The next test will come when the system is used during a high-volatility event, such as an election result or a central-bank decision.
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