First monthly expiry under CAS sees a minor fall in derivatives turnover

Derivatives turnover across indices and stocks stood at Rs 569 trillion, down nearly 4 per cent from the previous monthly expiry, as the new CAS mechanism settles in

On the first expiry of monthly contracts of Nifty on Tuesday, since the implementation of the closing auction session (CAS), the derivatives volume saw a nominal decline of nearly 4 per cent from the previous month’s expiry on July 28.

 

The total turnover on Tuesday in the derivatives segment across index and stocks stood at ₹569 trillion compared to ₹592 trillion on July 28.

 

However, it stood at ₹750 trillion on the monthly expiry day in June.

 

Meanwhile, Nifty has surged nearly 1.5 per cent since the last monthly expiry. 

 

“The first monthly expiry under the CAS has passed without a liquidity event, and that in itself is the headline. Aggregate expiry-day turnover has held broadly in line with recent expiries. What has changed is its distribution through the session,” said Gaurav Arora, head of research, Sahi, a stock broking firm.  

 

He added that the rollover and adjustment flow has been pulled forward, making the 3:00 pm to 3:15 pm window one of the busiest slots of the day.

 

CAS, a 20-minute window from 3:15 pm, was implemented on August 3, replacing the earlier method of Volume Weighted Average Price (VWAP) for determining the official closing price of stocks with active futures and options (F&O) contracts.

 

The move is said to bring more transparency, curb price manipulation, and align Indian markets with global standards.

 

“Despite it being monthly expiry, NSE cash-market turnover fell 4 per cent versus the previous session, reflecting continued subdued participation,” said Nandish Shah, deputy vice-president, HDFC Securities.

 

Shah added that the 75-point uptick post-CAS settlement led Nifty to engulf the previous three sessions’ moves in a single candle on Tuesday, helping Nifty reclaim its 20-day double exponential moving average (DEMA), placed near 24,300.

 

Jefferies, in an earlier report, had estimated the average daily turnover to recover from the second half of FY27, as CAS stabilises.

 

“The visible impact is on participation mix rather than headline volume. The auction is currently dominated by passive funds, exchange traded funds (ETFs) and high-frequency participants. Domestic proprietary desks, arbitrageurs and retail have largely stepped aside after 3:15 pm,” Arora added.

 

The initial framework covers only 208 F&O-eligible stocks. Assets under management (AUM) linked to these stocks stand at ₹10.11 trillion — representing 67 per cent of the total passive AUM. In ETFs, ₹7.92 trillion of the total ₹8.04 trillion AUM is linked to CAS-eligible stocks, according to NSE’s report called Nifty Passive Insights.

 

“The first two days of implementation of the CAS, saw sharp movements, leading to havoc. People have not been able to come out of that phobia. Before the implementation, there was a need for training and wider awareness among market participants. On some days, the markets may remain range bound throughout the day but see sharp spikes during the last minutes. This shakes up the positions,” said Jyoti Budhia, Sebi-registered research analyst, trader and trainer. She also urged for a detailed awareness on the mechanism.

 

Amid the concerns, the market regulator earlier barred two entities from the market and penalised them for alleged manipulative trades.