CAS No-Trade Day: Why F&O Expiry Strategies May Need a Rethink
- CAS may force F&O expiry strategies to rethink risk management around the 3:15 p.m. close.
- Options volumes fell 46% in the first six CAS sessions compared with July levels.
- Final 15-minute NSE turnover fell to 1.6%-2.3%, versus a historical level of 10.1%.
Indiaโs new Closing Auction System (CAS) is changing how derivatives traders approach the final minutes of the session, especially on expiry days. The pressure became visible after CAS began on August 3, when retail traders raised concerns about volatility, weaker liquidity, and uncertain settlement prices.
Those concerns culminated in an August 12 โno-trade dayโ across the Indian stock market. Moneycontrol reported that options volumes fell 46% during the first six CAS sessions compared with July, while notional turnover declined 27%.
However, the bigger issue for F&O trading is not lower activity aloneโฆ
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