On Tuesday’s weekly derivatives expiry, the Nifty’s indicative level swung from 23,805.65 to 23,374.70 during the new closing auction before finishing at 23,635.10, close to the continuous-session level; auction turnover was ₹2,099 crore, more than twice Monday’s. On September 3, a similar Sensex episode sent put premiums up 400–500% within minutes. Financial Express, September 8
SEBI’s mechanism, introduced for F&O stocks on August 3, ends continuous cash trading at 3:15 p.m. IST, sets an auction reference from the 3:00–3:15 VWAP with a ±3% band, and randomly closes order entry before matching. Derivatives remain open until 3:40. SEBI circular, January 16
The risk lesson is specific: the final print may look sensible while the indicative path destabilizes options, index hedges and automated controls. A replay that stores only the eventual auction uncross will miss the event. Capture indicative-price trajectories, amendments/cancels, participation and derivative markouts across the 3:15–3:40 feedback window. Closing auctions are meant to make the close harder to manipulate; the market has supplied a brisk peer review.