Everything you need to know about the Closing Auction Session (CAS), starting August 3

[bharat1080]

congratulations, now you only have 9 to 3 job.

[BB789]

More like only 3 to 3:40. Just guess Jane move and enjoy. Forget the 9 to 3 - won’t matter anyway.

[BB789]

@dcd

After 3:23 or 3:26 PM even JS could not move the closing price by that much

That’s not true! What matters is volume. If they put all volume at 3:24, closing price will change. They tested this last sensex expiry:

@Aditya_Gupta

also if you look sensex 77900 ce, it was 1 was 3.19pm and sudden movement in last 6 candles. in last 2 min, it went from 50 to 10.

in normal expiries, i have obserrved option movement till 3.21-3.22pm, and by 3.26-3.27, the closing price is determined and itm, ctm options don’t show much movement. but last 3 sensex expiries, it is completely opposite and horrifying at same time

[sankar]

Told u

Haha closing price

[Private]

sensex premium went from 150 to 440. I sold at 400.

[dcd]

ok, may be I formulated it incorrectly, of course if sensex was at 77850 and suddenly it went to above 77900 and caused huge movements in 77900 CE, it was still a very small movement for sensex.

Now, imagine, you have sold options, and in this closing period sensex moves 1000 points on expiry day. So much more Wilder it would be man

[BB789]

@Private

sensex premium went from 150 to 440

Today?

[Jason_Castelino]

@bharat1080

index underlying value is higher than future.

I am going very light overnight. I knew some mess up would happen today because most of them dint undertand rules. Actually even i am yet to understand clearly.

Imagine it was Tuesday today. 24600 which should have expired at 0 would now be settled 174.

[Private]

On expiry.

[Private]

Tomorrow is tuesday. I think traders should exit their position if they are near ATM.

[AGASTHYA_36]

WELCOME TO THE BLACK HOLE MODEL !!!

[Jason_Castelino]

I think the premiums will be very high. If it’s 2 rupees on either sides I would just buy them both.

[Private]

Index are cash settled but stocks are not if they become ITM after CAS……

Sometime people don’t square off if premium is 0.05 now they should.

[raghav.95]

the simplest most optimum fairest solution is to take the day’s closing price as VWAP of the entire 6 hour session to reduce any last minute manipulation.

[phy7]

A few questions post the first CAS session

1. Will Zerodha Kite or API provide the “reference price” that NSE is supposed to keep computing on a real time basis based on buy and sell order.
2. What is the field name in Kite API
3. So during the period 15:15 till 15:30, how Zerodha calculate IV and Greeks
4. It looked like driving blind without the correct underlying value as the option prices kept on changing between 15:15 and 15:30.
5. How did Zerodha test it with NSE before going live with CAS

Any details will be very useful. Thanks

[siva]

@phy7

Will Zerodha Kite or API provide the “reference price” that NSE is supposed to keep computing on a real time basis based on buy and sell order.

Reference price we are showing on nudge, soon we will show indicative closing price also.

@phy7

What is the field name in Kite API

@nivas_k

@phy7

So during the period 15:15 till 15:30, how Zerodha calculate IV and Greeks

@Sensibull

@phy7

It looked like driving blind without the correct underlying value as the option prices kept on changing between 15:15 and 15:30.

We will show indicative closing price but that is also half blind measure only as there can be difference between indicative and actual as new orders enter and exit system.

@phy7

1. How did Zerodha test it with NSE before going live with CAS

We participated in multiple mock sessions, this is same across brokers.

My personal advice would be to go slow in trading after 3.15, let us see couple of expiries.

[Private]

What are the benefits of CAS ?

[KD61]

@siva

What If a F&O stock upper circuit value is at 1000 INR.

And it reaches 999 INR by 15:15 (VWAP value). So will the new upper circuit be 1000 INR or 1028.9 INR? (After 15:15)

[siva]

@KD61

So will the new upper circuit be 1000 INR or 1028.9 INR? (After 15:15)

It Should be 1028.9, as reference price is 999.

[Jason_Castelino]

@raghav.95

6 hour session to reduce any last minute manipulation.

So if there is some event like budget and the direction reverses, then closing price would be sooo far away from ltp.
Doesn’t make sense