Sensex weekly expiry to debut under Closing Auction System amid volatility concernsSensex derivatives weekly expiry on Thursday will be the first under India's new Closing Auction System, raising concerns over volatility due to lower liquidity in the BSE cash market. The market experts further noted that auction volumes on the NSE have improved in recent sessions, with the gap between Nifty spot and futures prices narrowing, participation in the Sensex closing auction remains comparatively limited. In addition, under the Closing Auction System, stock exchanges collect buy and sell orders during a designated auction window and determine a single equilibrium price at which the maximum number of orders can be matched. Even relatively small price moves in index heavyweights could have a disproportionate impact on the Sensex closing level and, consequently, on options settlement, according to them. Despite near-term concerns, analysts broadly expect any volatility arising from the Closing Auction System to be temporary as market participation improves and price discovery becomes more efficient over time.