The National Stock Exchange (NSE) and the Bombay Stock Exchange (BSE) will launch a pre-open session for the derivatives segment as well with effect from today (December 8).
Similar to the cash segment, the pre-open session for equity derivatives will run from 9:00 am to 9:15 am. The 15-minute window is divided into three phases: Order Entry (9:00 to 9:08 AM), Order Matching (9:08 to 9:12 AM), and a Buffer Period (9:12 to 9:15 AM).
During the Order Entry phase, traders can place, modify, or cancel orders. The system will randomly close order entry randomly between the 7th and 8th minute. The Order Matching phase will determine trades based on equilibrium price logic, while the buffer period ensures a smooth transition to normal trading hours.
Eligible contracts
The pre-open mechanism applies to current-month futures contracts on indices and individual stocks. In the last five trading days before expiry, next-month contracts are also included. However, it will not apply to far-month (M3) contracts, option contracts, spread contracts or futures on corporate action ex-dates.
Equilibrium price
The equilibrium price is the price at which the maximum volume is executable. In case more than one price meets the said criteria, the equilibrium price is the price at which there is minimum order imbalance quantity (unmatched order quantity). The absolute value of the minimum order imbalance quantity is taken into consideration.
The equilibrium price determined in pre-open session is considered as open price for the day. In case of only market orders exist both in the buy and sell side, then order is matched at base price. Therefore, Base price is the opening price. In case of no price is discovered in pre-open session, the price of first trade in the norma lmarket is the open price.
However, sny AMO (After Market Orders) placed the previous day or on the same day before the market opens, for eligible securities, will be scheduled to open during this pre-open session. For AMO orders placed as market orders, price protection will be applied on top of last closing price of the previous trading day.
Not eligible
Options, Calendar spreads Far-month futures and Futures of securities on an ex-date corporate action would not be included in the pre-market session, said exchanges.