The confusion around Closing Auction Session again came into focus on September 8 with Nifty put options soaring multi-fold within minutes on F&O expiry day.
During the indicative close, Nifty even went below 23,400, thus causing a massive 400-point volatility. On September 8, the benchmark Nifty 50's indicative close fell as much as 1.8% during the closing auction, after the index settled down 0.58% at 3:15 pm ahead of the auction. The 50-stock index, however, pared losses and ended 0.61% lower at 23,635.1, while the BSE Sensex lost 0.73% to 75,577.58. HDFC Bank, India's heaviest stock and top private lender, saw its indicative close fall as much as 3.91% during the auction, after ending regular trading down 0.91%. The stock ultimately closed 1.1% lower. Indian equities have seen sharp moves during the newly launched closing auction session, particularly on derivatives expiry days. Last week, indicative close for Sensex briefly dropped 2.5%, according to BSE's website. This caused premiums on some of BSE Sensex's put options to spike between 400% and 500% during closing auction. Even Bank Nifty, on September 8, saw a 500-point volatility before ultimately settling 310 points lower (-0.54%), Last week, the market regulator said it would review the methodology for determining settlement prices of derivatives contracts after receiving feedback on the closing auction session in the equity cash market. The Securities and Exchange Board of India had launched the closing auction session on August 3 to determine the closing prices of securities. But the rollout highlighted issues such as divergent index closing levels across exchanges, volatile options pricing, and concerns over potential manipulation, particularly on days when benchmark derivatives contracts expire. The regulator said it has received feedback from various stakeholders, and would propose certain changes in the methodology for determining settlement prices of derivative contracts. SEBI would also issue a discussion paper outlining the proposed changes within a week. Introduced on August 3, the CAS is a brief end-of-day auction in which buy and sell orders are matched to determine a stock's official closing price. Similar mechanisms are used in other Asian markets including China, Taiwan, Hong Kong and South Korea. The system replaced a methodology under which closing prices were based on the average price of trades executed during the final 30 minutes of continuous trading. Regulators said the change was intended to align Indian markets with global practices. Liquidity during the roughly 20-minute process has been thin and largely dominated by institutions. Exchange data showed CAS trades accounted for less than 1% of daily cash-market turnover and less than a third of volumes seen under the previous system. The lower participation means relatively small buy or sell orders can have an outsized impact on key indices. #StopCAS #BanCAS #BanCASINO #RemoveCASINO #RemoveCAS"Dar Ke Aage Jeet Hai"
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