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6 clusters · 27 sources · 43 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 (VWAP) mechanism with a 20-minute auction to improve price discovery.

Market participants 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, raising concerns that limited participation may allow specific orders to disproportionately influence closing prices.

On September 12, SEBI issued a consultation paper proposing a ‘Blended VWAP’ methodology or retaining the existing methodology as an interim measure. By October 3, SEBI reported receiving over 3,500 comments regarding modifications to the CAS, market timings, and settlement methodologies. Chairman Tuhin Kanta Pandey indicated the regulator intends to move quickly following the consultation period.

On October 16, SEBI released a final framework for the CAS, scheduled to take effect on December 7, 2026. The new rules revise the CAS timing to operate from 3:30 PM to 3:40 PM on all trading days. For derivatives expiry settlement, SEBI will retain the 30-minute VWAP method. Index derivatives will use the underlying index value based on the VWAP of index stocks during the final 30 minutes of continuous cash market trading, while stock derivatives will use the VWAP of the respective stock across all exchanges during that period. Rules regarding the transfer of unexecuted limit and iceberg orders from the continuous trading session will not be applicable until February 8, 2027.

Entities

Securities and Exchange Board of India · Tuhin Kanta Pandey · SEBI · Nifty · Sensex

Timeline

  1. [BUSINESS] 3 sources
    SEBI amends closing auction rules and derivatives settlement

    SEBI has updated its Closing Auction Session framework, shifting the CAS window to 3:30–3:40 PM and maintaining the 30-minute VWAP method for derivatives expiry settlement.

  2. [BUSINESS] 4 sources
    SEBI reviews derivatives settlement framework after CAS rollout

    SEBI Chairman Tuhin Kanta Pandey announced the regulator is reviewing derivatives settlement frameworks and the Closing Auction Session following a consultation period that received over 3,500 comments.

  3. [BUSINESS] 3 sources
    SEBI considers derivatives settlement and margin reforms

    SEBI Chairman Tuhin Kanta Pandey announced plans to reform derivatives settlement prices and consider lowering margin requirements for longer-tenure contracts to encourage long-term market participation.

  4. [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.

  5. [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.

  6. [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 · news9live.com · newsable.asianetnews.com · newsbytesapp.com · policycircle.org · smestreet.in · socialnews.xyz · sundayguardianlive.com · taxguru.in · theindianawaaz.com · timesnownews.com · tradebrains.in

This summary has been updated 6 times: see revision history