Neutral impactEconomy
Sebi proposes new CAS framework, two options for expiry-day settlement
Economic Times 1 hr ago·12 Sept 2026, 6:45 am
The Securities and Exchange Board of India (SEBI) has proposed a major overhaul to the Closing Auction Session (CAS) for stock markets. The key change involves how the settlement price is calculated for derivatives on expiry days. SEBI has outlined two options for this process. The first option suggests moving to a blended Volume Weighted Average Price (VWAP) approach after one year. The second option proposes keeping the current Continuous Net Settlement (CTS) VWAP method in place for the time being.
This move is significant for investors as it aims to improve price discovery during the closing auction. A clearer settlement price can reduce volatility and uncertainty for traders holding positions until the market closes. It also helps in better risk management for market participants. The framework is currently open for public feedback, meaning the final rules may change based on industry response.
Excerpt from Economic Times
The Securities and Exchange Board of India (SEBI) is set to implement crucial updates to the Closing Auction Session. A focus of these changes is on the process of derivatives settlement on expiry days. SEBI has laid out two alternatives for determining the derivatives settlement price: the first proposes a blended…Read the original at Economic Times
Key takeaways
- Category: Economy.
- Assessed as a significant, market-relevant update.
Why it matters
A meaningful update worth tracking. Use the price and stock snapshot to gauge how the market is responding.
