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3 clusters · 24 sources · 9 days · First seen · Last updated

SEBI derivative settlement methodology review

Overview

The Securities and Exchange Board of India (SEBI) is reviewing the methodology for determining settlement prices for derivative contracts. This follows the August 3, 2026, implementation of the Closing Auction Session (CAS) in the equity cash segment, which replaced the previous volume-weighted average price mechanism with a 20-minute auction to improve price discovery.

Market participants, including exchanges, brokers, and investors, have reported increased volatility, particularly on derivatives expiry days. Analysts have noted that sudden price swings during the auction can lead to significant surges in option premiums. There are concerns that limited participation during the auction period may allow specific orders to disproportionately influence closing prices, impacting systematic options strategies.

On September 12, SEBI issued a consultation paper proposing two primary options to address these concerns. The first is a ‘Blended VWAP’ methodology, which would incorporate trades from both the final 30 minutes of the Continuous Trading Session and the 10-minute CAS. The second option proposes retaining the existing methodology as an interim measure. SEBI intends to refine the calculation of settlement prices rather than rolling back the CAS framework, with a formal proposal slated for discussion during a board meeting scheduled for September 24.

Entities

Securities and Exchange Board of India · SEBI · Nifty · Sensex · National Stock Exchange

Timeline

  1. 2 days ago

    [BUSINESS] 14 sources
    SEBI proposes derivatives settlement changes and launches Demat 2.0 bond pilot

    SEBI proposes new derivatives settlement rules to address expiry-day volatility and has launched the Demat 2.0 pilot for tokenized corporate bond settlement using blockchain and digital currency.

  2. 9 days ago

    [BUSINESS] 4 sources
    SEBI reviews derivative settlement methodology following new closing auction

    SEBI is reviewing how derivative contracts settle on expiry following the implementation of the new Closing Auction Session (CAS) to address feedback regarding settlement price methodology.

  3. 11 days ago

    [BUSINESS] 7 sources
    SEBI to review derivative settlement methodology after CAS rollout

    SEBI is reviewing how derivative contract settlement prices are determined following the rollout of the Closing Auction Session (CAS) and feedback regarding market volatility.

Sources

acvila30.ro · bhaskarhindi.com · bhaskarlive.in · bitcoinethereumnews.com · blockchainreporter.net · businesstoday.in · coinedition.com · cointrust.com · cumbernauld-media.com · deccanchronicle.com · indianweb2.com · indiaobservers.com · kowchecking.com · morungexpress.com · newindianexpress.com · news18.com · newsable.asianetnews.com · policycircle.org · smestreet.in · socialnews.xyz · sundayguardianlive.com · theindianawaaz.com · timesnownews.com · tradebrains.in

This summary has been updated 3 times: see revision history