CAS queries closing gaps , option prices adjustment

General
1

I have a few questions regarding the Closing Auction Session (CAS):

  1. On 3 Aug, did most buyers in the CAS submit bids at prices higher than where the market traded during the regular session? If so, what drove that behaviour?

  2. Similar to the market open, CAS will also result in a gap up or gap down in the official closing price because all eligible orders are matched at a single equilibrium price instead of the order book moving gradually toward that price?

  3. Why didn’t option prices adjust in line with the final closing price after the CAS?

2

That’s what I’m wondering too.

For today’s expiry or for any expiry henceforth, we’d be getting the index closing/settlement price anytime between 3:28 pm - 3:30 pm. So for all intents & purposes, the expiry stops at that time as well since the option prices should calibrate according to that closing price. The time from 3:30 pm - 3:40 pm shouldn’t matter then, for that particular expiry…