NSE Closing Auction Gap Tracker
SEBI’s Closing Auction Session started on 3 August 2026. Since then, the official closing price and the price the options market is actually trading against have not agreed. We measure the difference every evening and publish it here, whatever it says.
| Date | Index | Official close | Options implied | Gap | Strikes |
|---|---|---|---|---|---|
| 04 Aug 2026 | NIFTY | 24,614.90 | 24,508.81 | -0.43% | 7 |
| 04 Aug 2026 | BANKNIFTY | 57,907.20 | 57,717.24 | -0.33% | 10 |
| 03 Aug 2026 | NIFTY | 24,774.30 | 24,576.19 | -0.80% | 7 |
| 03 Aug 2026 | BANKNIFTY | 58,247.95 | 57,847.07 | -0.69% | 10 |
How this is measured
Put-call parity: implied price = strike + call − put, using NSE’s own official bhavcopy closing premiums. We use the front contract that is not settling that day — a contract that settles today gets pulled onto the auction price by settlement itself, so including it would measure the mechanism rather than the gap. Only liquid strikes count: both legs must have traded at least 10% of that day’s busiest pair, because a strike that stopped trading hours before the close carries a stale price.
The “strikes” column shows how many independent strike pairs went into each reading. They typically agree with each other to within a few points, which is what tells us the number is real rather than noise.
This is market data, not investment advice. We are not a registered investment adviser. See today’s live options flow →