SEBI proposed two alternative expiry-day settlement methods tied to the Closing Auction Session.
One option uses a blended VWAP from the final 30 minutes of continuous trading and 10 minutes of CAS.
The other would temporarily revert to the pre-CAS method based on the last 30 minutes of continuous trading.
The consultation also covers market timings, order cancellations, Iceberg orders, and price disclosure during CAS.
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The reporting broadly agrees that SEBI is seeking changes to how expiry-day settlement is calculated after concerns linked to the Closing Auction Session. It also agrees that the proposal includes more than one settlement path, along with related operational rule changes.
What remains open is which settlement method SEBI will settle on, including whether it adopts the blended VWAP approach or a temporary return to the earlier method. The consultation process may still alter the proposed timing and auction-rule changes before any final decision.
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SEBI is proposing changes to expiry-day settlement and the Closing Auction Session after feedback from market participants and concerns about market behavior near the close. The reporting says the regulator has outlined two settlement options, including a blended VWAP method and a temporary return to the prior continuous-trading approach. It also notes related proposals on market timings, order cancellation limits, Iceberg orders, and price dissemination. One report says public comments have been invited through SEBI's comment mechanism and email.
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The New Indian Express reports that SEBI has proposed a set of changes and two settlement alternatives regarding the Closing Auction Session introduced last month. The regulator suggested either a blended VWAP approach combining continuous trading and auction periods or a temporary return to the previous continuous trading VWAP method for expiry days. Additionally, the report outlines proposed adjustments to market timings, tighter rules for order cancellations during the auction, and the discontinuation of the Indicative Index Value during CAS.
The Business Today article reports that the Securities and Exchange Board of India has proposed two alternative methods to determine expiry-day settlement prices for derivatives following market concerns about the newly introduced Closing Auction Session. The first option, called Blended VWAP, would combine transactions from the final 30 minutes of continuous trading and 10 minutes of CAS based on actual traded value. The second option would temporarily revert to using only transactions from the last 30 minutes of continuous trading before transitioning to the blended method after at least one year.
The Securities and Exchange Board of India proposed modifications to derivatives settlement and the Closing Auction Session framework after noting high derivatives activity near market close and expiry days. The report details concerns about participants using indicative prices during the auction and outlines two options for determining expiry-day settlement prices using blended volume-weighted average prices or pre-CAS methodology. The consultation also seeks views on market timings and information dissemination to clarify prices and settlement values.
The Securities and Exchange Board of India has proposed changes to derivatives settlement methodology, market timings, and Closing Auction Session operational aspects following feedback from market participants. The regulator outlined two options for auction timings and transition windows, as well as rules regarding limit order cancellations and Iceberg orders during the auction session. Public comments on these proposals have been invited until October 3, 2026, through SEBI's comment mechanism and email.