I pulled minute-level NIFTY data to check if CAS actually changed the market. It did — but not where people think.
Promised this in a comment last week, so here it is. Took every minute candle from Jan 1 to Aug 17, split at Aug 3 (CAS go-live), and compared three things: does the morning move survive to the close, how big is the final 15 minutes, and does the close fight the day's direction. Also ran the same window from August 2025 as a control, because "August is always dead" is a fair objection.
What held up:
- The final 15 minutes tripled. Median move was 0.04–0.06% for seven months straight. Since Aug 3: 0.17%. The first two CAS days closed with 0.82% and 0.61% swings in 15 minutes. Permutation test says p=0.002, so this one is real, not noise.
- The close fights the day now. In 7 of 8 sessions with a clear drift, the 15:00→close stretch went the other way. Used to be roughly 1 in 3.
- Follow-through collapsed. Morning direction used to hold into the close about half the time — 49% over seven months, 50% in the same window last August. Since CAS: 1 day in 10. Small sample, so treat this one as suggestive, not proven.
What didn't hold up: "CAS killed the range." Ranges are compressed, but VIX is at 11.4 — most of that is a sleepy vol regime, not the auction. Last August had normal follow-through and quiet closes, so this isn't seasonal either.
The part that convinced me it's mechanical: low VIX should make closes quieter. Instead the one window that got wilder is exactly the auction window. Quiet days, violent closes — that combination didn't exist in the data before Aug 3.
Caveats before anyone builds a strategy on this: 11 sessions, one index, low-vol month. I'll rerun at 30 sessions and post the update whichever way it lands. But if your intraday system needs the afternoon to agree with the morning, you've probably already felt this without needing my chart.