# Closing / settlement price of futures?
**URL:** https://tradingqna.com/t/closing-settlement-price-of-futures/199106
**Category:** F&O
**Created:** [October 27, 2026, 5:02pm UTC](https://tradingqna.com/t/closing-settlement-price-of-futures/199106 "2026-10-27T17:02:26Z")
**Posts on this page:** 6
**Page:** 1
### Author:  [@raghav.95](https://tradingqna.com/u/raghav.95)
#### Post date: [October 27, 2026, 5:02pm UTC](https://tradingqna.com/t/closing-settlement-price-of-futures/199106/1 "2026-10-27T17:02:26Z")
i noticed today that futures bid-ask was far away from the closing price after the CAS session. ( at around 3:35 pm )
For example hindpetro Cas close was 354 but future was around 348-349. Noticed a similar discrepancy for PAGEIND.
Is it a market inefficiency ? is there any change in settlement price rules? Are we using VWAP now ?
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### Author:  [@Patel\_6](https://tradingqna.com/u/Patel_6)
#### Post date: [October 27, 2026, 5:15pm UTC](https://tradingqna.com/t/closing-settlement-price-of-futures/199106/2 "2026-10-27T17:15:59Z")
I took the advantage 😄😄
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### Author:  [@Patel\_6](https://tradingqna.com/u/Patel_6)
#### Post date: [October 27, 2026, 5:17pm UTC](https://tradingqna.com/t/closing-settlement-price-of-futures/199106/3 "2026-10-27T17:17:50Z")
Maybe it is bcz of some fund want to buy at closing price .
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### Author:  [@raghav.95](https://tradingqna.com/u/raghav.95)
#### Post date: [October 27, 2026, 6:24pm UTC](https://tradingqna.com/t/closing-settlement-price-of-futures/199106/4 "2026-10-27T18:24:21Z")
To take a arbitrage advantage like this , you need the holding of the stock in your demat , right ? (in case of sell )
or you need full cash equal to lot value (in case of buy ) , right ?
(Also, there is mismatch, you bought more quantity than sold.)
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### Author:  [@Patel\_6](https://tradingqna.com/u/Patel_6)
#### Post date: [October 27, 2026, 6:46pm UTC](https://tradingqna.com/t/closing-settlement-price-of-futures/199106/5 "2026-10-27T18:46:12Z")
No u don’t need to ,u can borrow and sell, though I’m not sure if selling is allowed on the same day. I guess it actually happen today ,check the borrowed volume of HPCL
Also, I sold 700 shares from another demat that were held under MTF.
> [@raghav.95](#):
>
> or you need full cash equal to lot value (in case of buy ) , right ?
???
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### Author:  [@NorthByte](https://tradingqna.com/u/NorthByte)
#### Post date: [October 27, 2026, 9:23pm UTC](https://tradingqna.com/t/closing-settlement-price-of-futures/199106/6 "2026-10-27T21:23:35Z")
This is not a market inefficiency or a bug; it is a direct consequence of how NSE calculates Daily Settlement Price (DSP) versus Cash Closing Price:
1. **Underlying Equity (Cash Market)**: The final closing price of the stock is determined during the Closing Auction Session (CAS / post-market matching) between 3:30 PM and 3:40 PM, which discovers a single equilibrium price based on accumulated auction orders.
2. **Futures Contracts (Non-Expiry Days)**: F&O contracts do NOT participate in the CAS. Under NSE clearing rules, the Daily Settlement Price (DSP) used for daily Mark-to-Market (MTM) margin calculation is the **Volume Weighted Average Price (VWAP) of the contract during the last 30 minutes of trading (3:00 PM to 3:30 PM)**. If no trades occur in the last 30 minutes, a theoretical price is calculated.
3. **Why the discrepancy occurs** :
- If significant buying or institutional rebalancing stepped into the cash CAS after 3:30 PM, the cash equity price jumps to the auction price, while the future had already stopped trading at 3:30 PM.
- Additionally, in stocks like PAGEIND or during upcoming dividend ex-dates, futures frequently trade at a discount to the cash market (cash price minus expected dividend per share), because futures holders do not receive dividend payouts.
On monthly expiry day, stock futures settle against the final 30-minute cash market VWAP of the underlying stock (physical delivery settlement), but on regular non-expiry trading days, MTM is strictly tied to the future’s own 30-minute VWAP.