1 week ago
NSE Closing Auction Passes Monthly Derivatives Expiry Test
India’s stock exchange uses a special auction at the end of the trading day to set some closing prices.
On Tuesday, this auction was tested during a monthly derivatives expiry, when trading can become especially busy.
It worked without any major problems.
About ₹14 billion worth of shares were traded in the auction.
The Nifty 50 index finished higher after rising sharply late in the day.
Some trading firms have avoided the new system, so its volumes remain lower than expected.
Regulators are also examining the mechanism after banning two firms over alleged price manipulation.
The Indian rupee became stronger against the dollar as oil prices declined.
Gold prices rose in India but slipped slightly in international markets.
The NSE closing-auction system operated without significant disruption during Tuesday’s monthly derivatives expiry.
About ₹14 billion in shares traded during the auction, above the roughly ₹12 billion daily average since August 3.
The Nifty 50 closed at 24,334.55, gaining 0.48% after a late-session rally.
The rupee strengthened 0.27% to ₹95.44 per dollar as oil prices fell and possible RBI intervention supported the currency.
Domestic gold rose ₹2,700 to ₹1,67,100 per 10 grams, while international spot gold fell 0.26%.
- Who
- The National Stock Exchange, traders, regulators, and market participants, including proprietary and high-frequency trading firms.
- What
- The NSE’s new closing-auction system completed a monthly derivatives expiry session without significant disruption.
- Where
- India’s financial markets, including the National Stock Exchange and domestic bullion and currency markets.
- When
- Tuesday; the system was introduced on August 3.
- Why
- The session was closely watched because monthly derivatives expiries can increase trading activity, price swings, and execution risks.
Supportive Assessment
Concerns and Scrutiny
Auction performance
Supportive Assessment
Market analysts said the expiry-day closing auction proceeded without major problems, suggesting the system can handle heavier activity.
Concerns and Scrutiny
The mechanism has had a difficult start, with some proprietary and high-frequency trading firms staying away and auction volumes remaining relatively low.
Market impact
Supportive Assessment
The closing auction helped lift the Nifty 50, which surged nearly 75 points during the session and supported the index’s overall gain.
Concerns and Scrutiny
Expiry-related positioning caused sharper swings, while the narrower late-session window for trading stocks and derivatives reduced some arbitrage opportunities.
Regulatory confidence
Supportive Assessment
The successful expiry-day session was described as an encouraging sign for the new mechanism.
Concerns and Scrutiny
The Securities and Exchange Board of India barred two firms, including a JPMorgan Chase unit, over alleged price manipulation during the auction.
Key facts
- NSE auction volume
- About ₹14 billion worth of shares changed hands during Tuesday’s closing auction.
- Recent auction average
- The closing-auction daily average has been roughly ₹12 billion since August 3.
- Nifty 50 close
- The index closed at 24,334.55, up 0.48%.
- Rupee close
- The rupee closed at ₹95.44 per dollar, compared with ₹95.70 on Monday.
- Brent crude
- Brent prices fell more than 3% to about $89.20 a barrel.
- Domestic gold
- Gold in Delhi rose ₹2,700 to ₹1,67,100 per 10 grams.
- International gold
- Spot gold fell $11.87, or 0.26%, to $4,639.51 an ounce.
Quotes
Nandish Shah
Deputy vice-president at HDFC Securities
“The index opened 44 points lower and saw two-way trade in the first half, but strong buying in the final two hours lifted it more than 200 points from the mid-session low to close at the day’s high. In the closing auction session (CAS), Nifty surged nearly 75 points, which provided the fillip for the overall gains.”
telegraphindia.com
“The CAS session on expiry day went off without any major hiccups, which is an encouraging sign.”
telegraphindia.com
Sources
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