Guide · Market structure · Updated 2026-09-23

Stocks with a fixed price band pile up at its edge and never cross it; stocks with derivatives show no wall at all

How bands, the index halt matrix and the surveillance overlays work is set out in the three systems behind a circuit limit and in what circuit limits on the NSE actually do; this page does not repeat it. It measures them, from the exchange's own daily files, and the closing note sets out the method so the work can be redone.

A band limits one price; a circuit stops the whole market

A scrip-wise price band is a limit on one security. SEBI's Master Circular for Stock Exchanges and Clearing Corporations of 30 December 2024 provides, at paragraph 2.3.1 of chapter 1, for bands of up to 20 per cent either way on every scrip in rolling settlement except those with derivatives, and the exchange places each security in a 2, 5, 10 or 20 per cent band applied to the previous close. Stocks with derivatives get an operating range instead, the dynamic price band of paragraph 2.5. The index-based market-wide circuit breaker limits no price at all: it halts all equity and equity derivative trading nationwide when the Nifty 50 or the Sensex, whichever is breached first, moves 10, 15 or 20 per cent either way from its previous close, under SEBI circulars SMDRPD/Policy/Cir-37/2001 of 28 June 2001 and CIR/MRD/DP/25/2013 of 3 September 2013. Either way means a rise triggers it as surely as a fall.

The last column is what this page adds. Fixed bands bind somewhere in the market on every session; the index breaker has reached its trigger twice in thirteen years, both times in March 2020.

Measured: every stock is fenced by its own band

The exchange publishes a band file every session, stating the band of every security. One was fetched for each of the 1,164 sessions in the bhavcopy cache and for the weekend special sessions it lacks, 1,167 files, and every stock session was labelled with the band in force. Which file governs which session had to be measured: matched to the file of the same date, 0.26 per cent of fixed-band sessions print outside their stated band; matched to the file of the previous session, 0.045 per cent. A band file dated D states the bands for the next session, and the ETF switch below confirms it: the first file showing the new ETF regime is dated 4 September 2026, the last session before the rule took effect.

Each fixed-band group rises to a spike at its own band and has almost nothing beyond it. In the 5 per cent band the last tenth of a point below the upper edge holds 8.7 times as many sessions as an average tenth in the half point before it; at the 20 per cent band, 19.3 times. The derivative stocks show 0.49 at 10 per cent, fewer sessions in the last tenth before the operating range than in an average tenth before that, and 74 of their sessions closed in the half point beyond it.

The tighter the band, the more often it binds, and the causation runs both ways. The exchange's surveillance function puts a stock in a tight band because it has been moving violently, so the 2 per cent group is selected for exactly the behaviour that pins it. The band does not create the pressure; it decides where the pressure becomes visible, and what happens to the orders that carry it.

The wall is exact. Only 956 of 2,108,390 fixed-band sessions printed any price beyond their stated band: 503 fall on the ex-date of a split, bonus or similar change in the exchange's corporate actions list, where the file's previous close is the unadjusted one; 316 are a symbol's first session in the file, where the base is not a previous close; 137 are explained by neither and are excluded rather than argued away. Of 42,524 sessions frozen all day at one price within a tick of an edge, 42,505 sit exactly on a band price computed from the previous close and the tick in force, and no close in the sample lies beyond one.

The band price is aligned to the security's tick, as the exchange's Capital Market Consolidated Circular NSE/CMTR/73927 of 28 April 2026 says at item 3.3, and the files show a band is never narrower than one tick. The upper band is aligned down, towards the base, in 99.98 per cent of the cases where the direction can be told. The lower band is not consistent: aligned towards the base in 100 per cent of such cases in 2022, in 12 per cent between July 2024 and October 2025, and in 100 per cent in 2026. With a tick of 0.05, a 5 per cent band on a close of 33.35 stops at 35.00, a move of 4.95 per cent, which is why the upper spike sits in the last tenth below the round number, while a lower lock in 2025 could print a hair beyond it.

The operating range slides with the price, so no spike can form

A stock with derivatives has what the exchange's consolidated circular calls a dummy circuit filter: an operating range of 10 per cent of the previous close, set to stop orders at non-genuine prices, with any order beyond it sent to a price freeze and cancelled. SEBI circular SEBI/HO/MRD/TPD-1/P/CIR/2024/58 of 24 May 2024 rebuilt how that range moves. Before it, the range flexed by 5 per cent as often as needed once 25 trades by 5 client codes on each side had printed at 9.90 per cent or more from the base, after a 15 minute cooling off, and the other edge stayed put. From 3 June 2024 a flex needs 50 trades, 10 unique client codes and 3 trading members on each side. From 19 August 2024 the first two flexes are 5 per cent after 15 minutes, the next two 3 per cent after 30 minutes and every later one 2 per cent after 60 minutes, and a flex triggered in the cash market or the near month future on any exchange moves the stock and all its futures. From 18 November 2024, the date NSE/FAOP/64995 set for it (the SEBI circular had named 21 October), the range slides: when one edge moves out, the other moves in by the same amount, and resting orders left outside are cancelled. A flex lasts for the day only.

Sliding keeps the range 20 per cent wide in the direction of travel, so a stock that has flexed up twice cannot trade below its previous close for the rest of the session unless it falls back through the midpoint and flexes down. A high to low range wider than 20 per cent now needs exactly that reversal. Before 19 August 2024, 48 derivative stock sessions had one, 0.039 per cent; since 18 November 2024, five have, 0.005 per cent. The direction is what the rule predicts. The size is not settled, because the earlier period holds the most violent single-stock episode in the sample, in early 2023, and five cases are too few to measure a rate.

Of the derivative stock sessions, 855 reached the initial 10 per cent edge and 680 went beyond it: 80 per cent of the sessions that touched the edge flexed and kept trading, where a fixed band would have stopped every one of them. The group is identified from the band file's No Band label, checked against the derivatives bhavcopy itself: on the first session of each of 57 months the No Band stocks matched the stock futures underlyings exactly on 56, across lists of 178 to 227 stocks; the only exception was on 1 January 2024, when the band file listed 184 such stocks against 183 with futures.

At the band, a buy order is a place in a line

The exchange matches orders on price and then on time; its consolidated circular describes continuous matching with price-time priority. When a stock is pinned at its upper band, every buyer willing to pay more has one price left to bid, so all the unmet demand collects at that price, ranked by arrival. A buy order placed there is not a trade. It is a place in the line, and it fills only when a seller arrives with enough quantity to reach it. Nothing trades above the band, so the line cannot clear by the price rising, only by sellers turning up. At a lower band the sellers queue and the question is whether any buyer comes.

The daily file shows what that does to trading. A stock opened, traded and closed at one price on its band in 42,582 sessions, and on those the median stock printed 0.38 times its own usual number of trades at the upper band and 0.38 times at the lower, against its previous twenty unlocked sessions. Sessions that reached the band during the day and closed there traded about as often as usual, 1.06 and 0.98 times, because the pressure arrived as trades before the price hit the wall. The median share of traded quantity marked for delivery was 71.1 per cent on upper locks and 68.7 per cent on lower locks against 52.3 per cent on ordinary sessions, which is what a book looks like when an intraday round trip cannot be completed.

One more effect hides locks from anyone counting them. The bhavcopy lists only securities that traded, so a session in which a locked stock found no counterparty at all leaves no row. After an upper lock the stock was missing from the next session's file 3.5 per cent of the time, after a lower lock 7.7 per cent, after an ordinary session 0.43 per cent. Some absences are suspensions or moves to weekly trading, so the figure bounds what the file hides rather than counting it. How a place in the line is earned, and what a modification does to it, is in queue position under price and time priority; how a locked stock's next opening price is formed is in the pre-open call auction.

The move a band holds back arrives the next session

A lock is not an ending. After an upper lock in the 5 per cent band, the next session also closed at its upper band 53.5 per cent of the time, against 6.2 per cent after an ordinary session in the same band; in the 2 per cent band the pair is 70.2 and 18.3, and even in the 20 per cent band 17.7 against 0.15. Across all bands, 47.5 per cent of sessions after an upper lock opened already at the new upper band and a further 38.5 per cent opened above the locked close. The unfilled demand did not go away overnight; it was carried into the next morning's auction.

Because each band is a percentage of the previous close, every lock resets the base and the ceiling steps up by the same percentage the next morning. Consecutive upper locks formed 32,697 runs; 21.6 per cent lasted three sessions or more and 9.0 per cent five or more. The longest ran 118 sessions: one stock in the trade-for-trade segment closed at its 2 per cent upper band on every session from 6 May 2024 to 22 October 2024 and finished at 10.3 times its starting price, a rise no single session ever showed. A band does not stop a repricing. It spreads it across sessions.

How a stock moves between bands, read from the files

For a security without derivatives the band is, in the exchange's words, as decided by its surveillance department from time to time (consolidated circular, item 3.1 E), and its page on the daily review of price bands says downward revision is a daily process and upward revision a bi-monthly one, subject to objective criteria it does not publish there. Fixed rules sit around that discretion. A security leaving trade-for-trade settlement goes into the 5 per cent band until the next upward review. A company with non-promoter holding below 25 per cent can carry at most a 10 per cent band (NSE/SURV/52090 of 22 April 2022). A new listing trades on its first day in a band of 5 per cent around its discovered price for an issue of up to 250 crore and 20 per cent above that, a relisted security in 5 per cent. And since SEBI circular CIR/MRD/DP/04/2014 of 6 February 2014, a stock in an index carrying derivatives but with none of its own may be given a band, which the 2001 rule had not allowed. The stages that cut bands are in the ASM and GSM frameworks.

Across 1,166 band files, stocks moved between fixed bands 13,615 times, 6,511 tightenings and 7,104 widenings, plus 93 moves into the no band group as stocks gained derivatives and 77 out as they lost them. The two directions run on different clocks. Tightenings appear in 94.7 per cent of all files, the daily process the exchange describes. Widenings arrive in bulk: every one of the 28 even-numbered months in the sample has exactly one large batch in its first ten days, 61 to 274 widenings each and 62 per cent of all widenings between them. Bi-monthly, in practice, means once every two months, in the first week or so of February, April, June, August, October and December. From 8 September 2023 smaller batches of twenty or more also appear between reviews, 42 of 46 in a file dated Friday, which governs the Monday; the files do not say what drives them.

One part of the setting rule is under review. Each exchange computes the band and the pre-open base on its own previous close, so a stock that trades on one exchange and not another can drift apart across them. SEBI's consultation paper of 11 June 2026 proposes that an exchange where a stock did not trade adopt the close of the exchange where it did. Comments closed on 2 July 2026; no final circular could be found as at 23 September 2026.

The index breaker has reached its trigger on two days in thirteen years

The market-wide breaker's levels are recomputed daily from each index's previous close, and a breach halts trading for anything from no time at all to the rest of the day depending on the level and the time, with a 15 minute pre-open call auction wherever trading resumes; the matrix is in the pages linked at the top. On the broad index's own session files, 3,385 sessions from 1 January 2013 to 18 September 2026, the intraday extreme reached 10 per cent from the previous close on exactly two days: 13 March 2020, when the low touched 10.8 per cent below it before the index closed 3.8 per cent higher, and 23 March 2020, when it fell 13.3 per cent intraday and closed 13.0 per cent down. The extreme passed 5 per cent on 21 sessions in all. Over a period a third as long, fixed bands closed a stock at its limit 122,545 times: one device is a working part of every session, the other an emergency brake. The two March 2020 halts are measured in March 2020, measured.

On 7 September 2026, exchange traded funds changed band regime

This is the change most explanations of price bands predate. Until then an ETF traded in a fixed band of 20 per cent either way, 5 per cent for overnight funds, around a base equal to its NAV of two trading days earlier. SEBI circular HO/47/11/11(1)2026-MRD-POD3/I/13804/2026 of 15 June 2026, issued after its Secondary Market Advisory Committee and a public consultation, gave two reasons for replacing that: the one-day lag in the base, and a fixed band not commensurate with the price range of the underlying. It was to apply from 1 September 2026; circular HO/47/11/11(1)2026-MRD-POD3/I/19839/2026 of 28 August 2026 moved that to 7 September on the exchanges' feedback, leaving every other provision unchanged.

The exchange's band file records the switch. In the file governing 4 September, 318 of the funds on its ETF list carried a 20 per cent band and 32 a 5 per cent band; in the file governing 7 September, 330 carry No Band, the file's label for a dynamic range, and 20 stay at 5 per cent, the 20 overnight and liquid funds.

For ordinary funds the new edge shows at once. From 2 March to 4 September 2026, 139 of 29,950 equity ETF sessions, 0.46 per cent, printed an intraday extreme more than 10 per cent from the previous close. In the nine sessions since, none of 2,339 did; the largest extreme was 9.998 per cent, a hair inside the new edge. Gold and silver funds went beyond 6 per cent on 5.84 per cent of sessions before and on none since, the largest extreme 5.936 per cent. Nine sessions are too few to say how often the new ranges will flex.

The sharper effect fell on the six funds that track overseas indices, five of which had spent the months before the change sitting on the old ceiling.

From March to 4 September 2026 those five closed exactly on 1.2 times their NAV of two sessions earlier, aligned down to the tick, on 486 of 614 sessions, and their high went above it on only three. Close-to-close data cannot see that lock, because the ceiling moved every day with the NAV: the price changed daily without leaving the edge, and demand for units at a premium above 20 per cent simply queued. Once each session's ceiling was set by the last price instead of the NAV, the funds closed above the old ceiling on 41 of their 45 sessions. The largest rise from the close of 4 September to 18 September 2026 was 179 per cent, and the widest premium to same-day NAV reached 235 per cent. Two of the five settled back near their old premium; three kept going. A premium like that can last only while new units cannot be created fast enough to meet demand, the mechanism in ETF arbitrage on the exchange. The fund that traded close to its NAV throughout never touched the ceiling: the old band bound only where demand exceeded what could be created.

Three further provisions matter to holders. Gold and silver ETFs now open through a pre-open call auction on the same mechanism as shares, set out in the pre-open call auction guide. Overnight and liquid ETFs get a new close-out price for short deliveries, the higher of the highest price recorded from the trade to the auction or 5 per cent above the latest close; how a short delivery reaches close-out is in the short delivery auction guide. And the base is due to move again, to the previous day's closing NAV, from 1 April 2027. The base-price change that the ETF arbitrage guide still describes as a live proposal is now rule.

What a band can and cannot do

A band does not change what anything is worth; it changes when the price is allowed to say so. Three consequences follow for anyone using Indian price data. A locked close is not a clearing price: trades printed at the band while a queue that could not be filled waited behind them, so a backtest that trades at such a close assumes a fill the book did not give, and the return the band held back appears in the next session. The daily returns of fixed-band stocks are censored at the band, so volatility and tail estimates built from closes understate the move that was demanded, most of all in the 2 and 5 per cent bands, where 68 and 22 per cent of sessions end on an edge, and the file drops sessions with no trade at all. And a band anchored to the wrong reference can hold a price away from where it would clear for months, as it did for the overseas funds, with an abrupt release when the anchor moves.

What bands are for is pace. SEBI describes scrip-wise bands as a measure against excessive price movements (consultation paper of 11 June 2026, paragraph 2), and the exchange describes the operating range as a guard against orders at non-genuine prices. Neither is protection for a holder. The queue at a lower band is where a holder who needs to sell finds that out, and the only defence that works there is a position sized, before the event, on the assumption that the exit may take several sessions.

Reading the market's plumbing from the exchange's own files, rather than from a description of it, is a method before it is a result, and it is the habit this curriculum builds first.