Sebi to Review Settlement Price Methodology for Derivative Contracts in Light of CAS Rollout
Sebi has also closely monitored the functioning of CAS and its impact on the market during the first month of its operation, the market regulator said
Mumbai: In light of the persistent market volatility observed on equity derivatives expiry days following the rollout of the Closing Auction Session (CAS) last month, the Securities and Exchange Board of India (Sebi) has proposed certain changes to the methodology for determining settlement prices of derivative contracts. “A consultation paper will be issued in about a week,” Sebi said on Thursday.
“Having considered the experience of the initial period of CAS implementation and the feedback received from various stakeholders, Sebi may be proposing certain changes in the methodology for determining settlement prices of derivative contracts, for which a consultation paper will be issued in about a week,” a Sebi press release said.
On Thursday, too, during the CAS, the BSE Sensex experienced massive intraday volatility, crashing more than 2,100 points in indicative pricing before recovering.
“This drastic movement occurred on the weekly derivatives expiry day, catching many option writers off guard,” reports said.
The Sensex finally closed 417.49 points, or 0.55 per cent, down at 76,152.86 points, while the Nifty 50 closed 41 points, or 0.17 per cent, lower at 23,873.45.
“The framework for CAS was introduced following extensive stakeholder consultations and detailed policy deliberations. This included two rounds of public consultation undertaken on December 5, 2024, and August 22, 2025, as well as discussions in advisory committees and with various stakeholders, including stock exchanges, broker associations, institutional investors, market participants and other stakeholders,” Sebi said.
“The inputs received through these consultations were carefully examined and duly considered in finalising the framework. Since its implementation, Sebi has closely engaged with various stakeholders, including stock exchanges, brokers, proprietary traders, software vendors, mutual funds, industry associations and FPIs, with a view to facilitating smooth implementation and addressing operational and other issues arising during the initial period of adoption,” Sebi further explained.
Sebi has also closely monitored the functioning of CAS and its impact on the market during the first month of its operation, the market regulator said.