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Closing Auction Session

Closing Auction Session allows market participants to have an additional trading session of up to 8-10 mins after market close. However, structured products like warrants and CBBC are not included in CAS. Hence, BNPP provides the underlying price change before and after CAS for you to calculate the price change of warrants/cbbc.
Underlying/Product
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Closing Auction Session Price Difference
-5% -4% -3% -2% -1% 0% 1% 2% 3% 4% 5%
Underlying
Code Underlying Prev 4PM
Reference Price
Prev Close Price Difference
After CAS
Price Difference
After CAS(%)
Price Change Compare to
4pm of Last Trading Day(%)
Code Underlying Prev 4PM
Reference Price
Prev
Close
Price Difference
After CAS
Price Difference
After CAS(%)
Price Change Compare to
4pm of
Last Trading Day(%)
Citi Warrants
Code Type Strike Delta Conversion Ratio Theo. Price Difference
After CAS
Theo. Price Difference
After CAS(%)
Prev 4PM
Reference Price
Price *Theo. Price Difference
comparing to 4pm
of last trading day(%)
Code Type Strike Delta Entitlement Ratio Theo. Price Difference
After CAS
Theo. Price Difference
After CAS(%)
Prev 4PM
Reference Price
Price *Theo. Price Difference
comparing to 4pm
of last trading day(%)
*Only considering impact of delta and CAS Underlying Price change to the theoretical nominal price change in products.
Warrants Settlement Price
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