The first monthly expiry of Nifty contracts under the Closing Auction Session (CAS) mechanism resulted in a 4% decline in derivatives turnover to ₹569 trillion on Tuesday, compared to ₹592 trillion recorded on July 28. According to reports from Business Standard, this represents the first monthly expiry since CAS implementation on August 3, which replaced the earlier volume-weighted average price (VWAP) method. The current turnover remains significantly lower than the ₹750 trillion recorded on the monthly expiry day in June.
Despite the volume decline, Nifty has surged nearly 1% since the last monthly expiry, as reported by Business Standard. Gaurav Arora, head of research at Sahi, noted that the first monthly expiry under CAS passed without a liquidity event, with aggregate expiry-day turnover holding broadly in line with recent expiries. He explained that 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. The 75-point uptick post-CAS settlement helped Nifty reclaim its 20-day DEMA near 24,300.
According to Business Standard, CAS is a 20-minute window from 3:15 pm that was implemented on August 3, designed to bring more transparency, curb price manipulation, and align Indian markets with global standards. Nandish Shah from HDFC Securities observed that despite being monthly expiry, NSE cash-market turnover fell 4% versus the previous session, reflecting continued subdued participation. The visible impact is on participation mix rather than headline volume, with the auction currently dominated by passive funds, ETFs, and high-frequency participants.
As reported by Business Standard, the initial CAS framework covers 208 F&O-eligible stocks with assets under management linked to these stocks at ₹10.11 trillion, representing 67% of 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 Nifty Passive Insights report. Jyoti Budhia, a Sebi-registered analyst, highlighted concerns about market participants' reluctance to trade during the CAS window, noting that training and wider awareness were needed before implementation.
