Nifty closing gap narrows two weeks after CAS rollout, Sensex stays higher

The difference between the Nifty's level at the start of the closing auction and its final close has narrowed, while the corresponding gap in the Sensex remains marginally higher

Two weeks since the implementation of the closing auction system (CAS), the change in the Nifty between its level at 3.15 pm, when the CAS begins, and the day’s close has narrowed, while the corresponding change in the Sensex has remained marginally higher.

 

The benchmark Nifty on Friday ended the session at 24,366. At 3.15 pm, the 50-share index was trading at 24,354.85, a difference of 0.05 per cent. On August 3, the first day of the CAS session, the difference between the Nifty’s level at 3.15 pm and its closing level was 0.82 per cent.

 

The Sensex, on the other hand, ended Friday’s session at 78,009.25, compared with 77,931.1 at 3.15 pm, a difference of 0.10 per cent.

 

 

Even on Tuesday, the day of the weekly expiry of Nifty contracts, the change was just 0.09 per cent, compared with 0.62 per cent on August 4, the first Nifty weekly expiry since CAS was introduced. 

In comparison, the difference in the Sensex rose from 0.21 per cent on August 6, during the first Sensex weekly expiry after CAS was introduced, to 0.28 per cent on August 13.

 

Under the closing auction system, closing prices for stocks with futures and options contracts are determined through an auction conducted between 3.15 pm and 3.35 pm.

 

The mechanism replaces the earlier method of using the volume-weighted average price of trades during the final 30 minutes of the session. Stocks without derivative contracts continue to follow the previous methodology.

 

“Earlier, the closing price was based on the last 30 minutes of trading on both exchanges, so differences in volume mattered less because the price reflected a broader average. Now, with separate closing sessions, liquidity has become more important. During the 3.15 pm to 3.30 pm window, price discovery depends on the bids, asks and quantities available on each exchange. Where liquidity is higher, price discovery tends to be more efficient because there are more buyers and sellers,” said Prakarsh Gagdani, founder, Soaring Peaks Capital.