Since 3 August 2026 the closing price for \~200 F&O stocks isn't the last-30-minutes average. It's an auction, 3:15 to 3:35.

The exchange finds the single price where the largest quantity matches. At ₹1,000 there are 9,000 buys against 4,000 sells; at ₹1,005 it's 7,000 against 7,000; at ₹1,010 it's 3,000 against 9,500. Tradeable is the smaller side each time — 4,000 / 7,000 / 3,000. **₹1,005 clears the most, so that's the close.** Every order fills there regardless of your limit.

Three things I don't think are widely understood:

1. **Stop-loss and iceberg orders are cancelled** when the auction begins
2. Orders outside **±3%** of the reference price are rejected, not queued
3. Order entry freezes at a **random moment between 3:28 and 3:30**

The structural concern: cash trading stops at 3:15 but derivatives run to 3:40. If people finish before 3:15 because they doubt the auction has depth, the auction gets thinner — which justifies finishing early.

On 27 August the Sensex swung \~2,000 points during the window on expiry day. SEBI has ruled out rolling it back, calling it teething. An MP has asked for an investigation. No findings yet.

Teething problem or design flaw? Genuinely unsure.                                                                                    Follow me on instagram@ [https://www.instagram.com/unheeded\_prophet/](https://www.instagram.com/unheeded_prophet/)

The new closing auction cancels your stop-loss at 3:15 — and most people don't know it