NSE to introduce pre-open session in futures and options to enhance price discovery

Mumbai, Nov 4 (IANS) The National Stock Exchange (NSE) will roll out a 15-minute pre-open session for equity futures and options starting December 8 to enhance price discovery, improve transparency regarding gap movements and manage volatility.

The pre-open session is a 15-minute call auction window from 9:00 am to 9:15 am to determine opening prices for index and single-stock futures prior to the regular trading session, according to the exchange.

This session will allow order entry, modification, and cancellation until a random closure between 9:07 and 9:08 am. Price discovery and trade matching will occur until 9:12 am, followed by a three-minute buffer that will transition the market to continuous trading at 9:15 am.

The move aligns the derivative market with the equity cash market’s pre-open call auction, the exchange informed.

Mock trading will take place on December 6, giving brokers and participants a brief testing window before live rollout, it said.

The mechanism will first cover current-month futures on single stocks and indices, then be expanded to next-month contracts in the last five trading days before expiry.

Options, spreads, and corporate-action ex-dates are excluded from the framework, the statement said.

Traders will access real-time indicative opening prices and order imbalance data. Limit and market orders are allowed during the pre-open session, while stop-loss and Immediate or Cancel orders (IOC) are barred.

Unmatched limit orders will move to the normal market with the original time-stamp, while unmatched market orders convert to limit orders at the discovered opening price.

India’s equity derivatives market has grown at an extraordinary pace as the turnover in equity derivatives in NSE surged from Rs 177 trillion in FY10 to over Rs 40,000 trillion in FY25 at a compound annual growth rate (CAGR) of around 43.5 per cent.

--IANS

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