SEBI May Revamp Market Close Process to Reduce Expiry-Day Volatility
What Happened
The Securities and Exchange Board of India (SEBI) has proposed changes to the Closing Auction Session (CAS) and derivatives settlement process. The regulator suggested two methods for calculating expiry-day settlement prices, including a blended VWAP based on the last 30 minutes of trading plus the auction session. It also proposed shorter transition periods, revised market timings, and stopping the display of indicative index values during the closing auction. Public comments have been invited until October 3, 2026.
Key Takeaways
The proposals aim to make expiry-day settlements more stable and reduce volatility seen since the CAS system was introduced in August 2026. If implemented, the changes could improve price discovery and make end-of-day trading more predictable for derivatives traders and investors.