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.
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