Mumbai, Aug. 17 -- The final 15 minutes of the trading day used to be the Street's most crowded, as proprietary traders, retail investors, arbitrage funds and jobbers jostled with institutional investors for the winning trade. The debut of the closing auction session (CAS) has flipped the script: trading has hit rock-bottom as most domestic traders and retail investors have stepped aside, turning the once-frenetic close into the leanest window of the day, a Mint analysis found. Earlier this month, stock exchanges rolled out the 15-minute CAS system to determine official daily stock closing prices, replacing the decades-old 30-minute Volume-Weighted Average Price (VWAP) model. Initially restricted to 213 stocks available for derivatives trading, the transition aims to curb end-of-day price manipulation and align Indian equity markets with global standards. However, the new system got off to a rocky start, with limited volumes and key indices on NSE and BSE closing divergently. The Mint analysis of NSE trading volumes since CAS began on 3 August found that the last 15 minutes coinciding with the auction have become the least busy among all similar windows during the day, pointing to the traders and investors missing at the day's end. Data from NSE was used for the analysis as the exchange accounts for 93.1% of the cash market share, with BSE having the rest. Indian markets open at 9.15 am for the continuous trading session (CTS) which runs till 3.15 pm, after which CAS begins. The analysis found that since the new system began, the CAS window accounted for just 1.59% of the 1.43 billion average daily volume (ADV) of shares traded during CTS. This was even lower than the average of the least active CTS between 1:30pm and 1:45 pm, which accounted for 2.2% of the total ADV during the period. Ironically, the last 15 minutes under the continuous session was the busiest trading window during the VWAP days, when it accounted for high double-digit volumes. The busiest trading window was at the market opening between 9:15am and 9:30 am, accounting for 13.1% of ADV and the second-highest was between the 3-3:15 pm window, the analysis showed. The analysis splits the day's session into 25 fifteen-minute windows. It takes the average of the total volumes of eligible 213 stocks from 3 -14 August and then takes an average of each of the 25 window's volumes over 10 days. Each window's daily average is compared with the total daily average. To illustrate, the ADV of 213 stocks over 10 trading days is 1.43 billion shares. The ADV of the CAS window is 22.89 million shares, accounting for just 1.6% of the total ADV. The analysis drew mixed reactions-some brokers said CAS volumes would increase as participation becomes more diversified from the current passive investors like index funds and exchange-traded funds and high-frequency traders (HFTs) to retail, mutual funds and other traders. "Participation is low because this is the initial phase of CAS," said D.K. Aggarwal, chairman and managing director, SMC Capitals Ltd. "Brokers are working towards increasing retail participation by displaying the market data during the auction session in a more upfront manner. As investors adapt to the new system, volumes would increase." However, another broker said the "Indian market microstructure" was unlike that in major markets of the US, UK and Hong Kong, all of which run closing auctions. "For one, market-making is permitted during CAS in other major global exchanges to ensure that spreads between buy and sell trades remain narrow and no wide divergence takes place between the close of CTS and the end of the auction. Secondly, the SLBM (securities lending and borrowing mechanism) segment is more vibrant in those markets than in India, where volumes are very low, and the process and costs are a challenge," the broker said, requesting anonymity. Under SLBM, those not owning shares can borrow them for a fee and a margin, sell them in the market, and buy them back after a stipulated period to return to the lender. Lending fees show SLBM volumes are quite low-for instance, the fees for July were a paltry Rs.115 crore against an average daily turnover of Rs.1.32 trillion. "Some HFTs are requesting Sebi to designate them as market-makers during the auction session to reduce the divergence pre- and post-auction in eligible stocks," added the broker cited earlier. A query to Sebi on this remained unanswered. Market-making is the practice of an exchange-empanelled participant offering tight buy-sell quotes to improve liquidity....