India, Aug. 4 -- For most of Monday, the Nifty 50 and the BSE Sensex moved in step. At 3.15pm, they went their separate ways. The Nifty finished 390.70 points, or 1.6%, higher at 24,774.30, while Sensex closed up 544.39 points, or 0.7%, at 78,639.03 - a rare divergence between the two blue-chip indexes.

This was no trading glitch, a person familiar with the matter told Reuters. Monday was the first day of the Closing Auction Session (CAS), a mechanism cleared by the Securities and Exchange Board of India (SEBI) that changes how end-of-day prices are set for stocks that also have derivatives trading on them.

Derivatives are financial contracts whose value is tied to the price of an underlying share. They are of two broad categories in In...