The closing auction session (CAS) has been a topic of debate since its implementation by the NSE in August 2026. This week, we discuss the impact of NSE’s trading architecture relating to CAS on your intraday futures positions.
Flexing prices
Suppose you have a bullish outlook on an underlying and initiate a long futures position for intraday trade. It is best to close your position before 3.15 pm. Why? NSE applies a dynamic price band on futures contracts. A price band of 10 per cent is first applied on the previous day’s closing price of futures to arrive at an initial trading range for the day. What happens if futures price hits the upper or the lower price band? Contracts are allowed to change by 5 per cent in the direction of the price if certain liquidity conditions are met. NSE uses a sliding rule to revise the trading range for futures contracts. This rule changes at 3.15 pm when NSE implements the CAS. Between 3.15 pm and market close, NSE switches to a static price band of 3 per cent. Brokers typically square off clients’ intraday positions between 3.15 pm and 3.26 pm. It is best to manually close your futures position earlier. This may lower potential gains but could moderate execution risk – the risk is that you may be unable to close your position manually at a reasonable price.
Sometimes, you may initiate an intraday position but later decide to carry over the position to the next day. Why? You believe the futures price will move further in the direction of your bet, or the contract may not have reached your desired price target. Brokers typically allow you to convert your intraday position until their automatic square-off process is implemented. It is optimal to convert your intraday futures position, if required, before 3.15 pm. Note that the SPAN margin requirements are the same whether you set up the position as intraday or overnight trade. So, it may be optimal to set up your futures position as overnight (positional) trade to reduce the risk that you may be unable to convert your position as desired.
Optional Reading
Applying the 10 per cent rule on the previous day’s close of 2000, the upper and lower price band on a futures contract is 2200 and 1800. Suppose the price hits the upper band and NSE applies the 5 per cent rule to flex the price band. The upper price band will move to 2300, an increase of 100 points (5 per cent of previous day’s close of 2000 added to the current upper band). The lower price will slide to 1900 (100 points added to the current lower band). Existing orders below 1900 will be automatically cancelled. A complex trading system requires mindful position management. It is best to initiate trades as overnight positions, especially on Nifty futures, to have the flexibility of closing the position intraday or keeping the contract open.
(The author offers training programmes for individuals to manage their personal investments)
Published on October 3, 2026