This also means that similar price movements or sharp price discovery during the closing auction can occur again if there is a significant buy-sell imbalance.
FNO traders should be mindful after 3:15 PM, as the closing price is now determined through the auction mechanism and may differ from the last traded price seen before the auction.
Hopefully, things will mature…
Wonder how the participants felt buying inflated prices on NSE compared to BSE. Hope better sense prevails and there is efficient arbitrage going forward (with increased participation).
I will arbitrage NSE and BSE if the stark price disparity is a regular feature. I am sure everyone is thinking the same way, and this skittles down the spikes…
today open price is positive if you compare with yesterday’s before CAS price. and option price were not matching with after CAS price. let see how does this works out.
This system is too inefficient .At least going by first day. The prices are all over the place. The issue is liquidity is low so lot of names in 200-250 f&o stocks can jump or go down without any significant volume being traded. The closing price derived can be utter garbage for majority of these stocks.
Rather than acknowledging this fact, Nse & Bse are congratulating themselves for milestone achievement. How naïve and irresponsible can they be. They need to roll this back immediately unless they are sure that this segment will be liquid.
@nithin Please look into this and make an appeal to exchanges and regulator if the above sounds correct to you.
Around 3:15 pm, many brokers had already instructed traders to stop executing fresh cash-market trades ahead of the auction, causing regular trading volumes to fall sharply.
At the same time, institutional cash-market activity is overwhelmingly concentrated on the NSE, while the BSE cash market remains largely retail-driven.
That meant the closing auction was effectively active only on the NSE from an institutional perspective.
According to dealers, the NSE auction saw relatively few institutional sell volumes. Proprietary trading desks were therefore able to place sell orders at substantially higher prices, while long-only institutional investors that still needed to complete purchases during the auction had little choice but to match those prices. Institutions can place only market orders in the last five minutes of trades.
The same dynamic was largely absent on the BSE.
With relatively little institutional participation in the BSE cash market, auction prices remained much closer to prevailing market levels, leaving the Sensex largely unchanged from its 3:15 pm level despite the sharp jump in the Nifty.
Yes, can use MTF product also but what if there is no arbitrage opportunity? user need to carry that position for next day which doesn’t make sense, like penny wise and pound foolish if one try to do in intraday.
But it is so bad and risky. Basically wait till what time. You are asking us to take few more punches and expect us to survive before they find out if this stuff works or not. Not fair to do it at the expense of public. Exchanges and regulator expected better from you. Now just the brokers can voice our opinions and realities on ground. And i think it should be voiced immediately before catastrophe happens
The thing is that even if this works for a few weeks, or even months, there’s no guarantee that one fine day/expiry, we won’t suddenly get a 1-1.5% (or more) move between 3:15 & the 3:28-3:30 final price.
This would not only be problematic for the traders, but the brokers too. And eventually, this would lead to a drop in liquidity as well.
It will be tough to wait out this stupidity. Ironically the people at nse ,bse and sebi are celebrating on reaching this milestone. Such a pity. We are Joke as a financial market . Just because something works in USA and Europe does not mean will work in India. The volume in cash markets is anyways way below their respective counterparts. If any person from nse or sebi is reading this get back to work and roll this back tomorrow . Till that time not trading a single bit.
Large institutions like pension funds, MFs, insurance companies, etc. have a fiduciary duty to get the best possible price for their clients.
I suppose we would just have to wait for their execution algos to catch up with this CAS abuse by prop desks.
