Volumes on the CAS on NSE, at around ₹1,000-1,200 crore, are roughly a fifth of those recorded during the final 15 minutes of the earlier continuous trading session, said Shai Coelho, founder of Pune-based analytics firm Vtrender. This could skew options prices on settlement days, he added. But, the blended mechanism will work to redress this .
Before 3 August, continuous trading in both the cash and derivatives segments ran from 9:15 a.m. to 3:30 p.m., with closing prices determined using the last 30 minutes of trading. On expiry days, derivatives and spot prices converge.
