Since Sebi introduced the Closing Auction Session on August 3, expiry-day trading in Sensex derivatives has turned into a test of nerves for options traders.

Across the first few expiry sessions under the new closing-price mechanism, the Sensex has seen sharp late moves during CAS, with the biggest shocks coming on August 27 and September 3.

The problem was mainly that the CAS-discovered closing price is also used to settle derivative contracts on expiry.

August 6: First expiry test stays calmerThe first Sensex expiry after CAS went live was on August 6. The market was still adjusting to the new system, and traders were watching whether the auction window would create unusual volatility. That session did not produce the kind of extreme Sensex swing that later expiries saw.

August 13: Sebi flagged three spikesThe sharper warning came on August 13, another Sensex weekly options expiry day. 6 at 3:15 pm, while the CAS-discovered closing price was 78,080, rounded to 78,080 for settlement calculations. .

August 27: Monthly expiry shockThe biggest scare came on August 27, the first monthly derivatives expiry after CAS was introduced.

The Sensex had traded above 77,100 for most of the day until 3:15 pm, but during the closing auction the index plunged from around 77,200 at 3:17 pm to nearly 74,983 at 3:23 pm before recovering part of the losses.

That more than 2,000-point collapse rattled traders because monthly expiry carries a wider impact than a normal weekly expiry.

Stock futures, stock options and index contracts are all tied to the final settlement price. The move triggered strong criticism from traders on social media. September 3: Puts explode as Sensex swings againCAS concerns returned on September 3, another Sensex weekly expiry day.

5%, with the index slipping more than 2,100 points within minutes during CAS. Sensex saw a nearly 3,900-point two-way swing in about two minutes during the CAS window. Put options reacted sharply.

Why CAS is moving expiry riskCAS was introduced to improve closing price discovery in the cash market. Under the system, continuous trading in eligible stocks ends at 3:15 pm and the closing price is discovered through an auction window. Analysts have pointed out that BSE has a much larger share in derivatives than in cash market volumes.