Neutral impactCorporate Action
Sebi reintroduces VWAP for derivatives expiry after CAS turns markets volatile
Mint 1 hr ago·15 Oct 2026, 4:45 pm
The Securities and Exchange Board of India (Sebi) has reinstated the Volume Weighted Average Price (VWAP) mechanism for derivatives expiry days. This rule was temporarily paused last month to address severe volatility caused by the Conditional Order to Stop Trading (COST) rule. The COST rule, introduced in August, had triggered abrupt price swings, making it difficult for traders to execute orders at fair prices during the crucial F&O settlement period.
This decision is a relief for market participants, as it restores a standard pricing benchmark that helps prevent artificial price manipulation. By using VWAP, investors can better assess the fair value of their trades, which is vital for managing risk during high-activity expiry days. Market participants will now closely monitor how the market reacts to this regulatory change and whether it effectively stabilizes trading activity moving forward.
Excerpt from Mint
CAS, introduced in August, led to abrupt price swings on expiry day, making it difficult for traders to participate in the futures and options (F&O) segment. The Securities and Exchange Board of India (Sebi) on Thursday pulled back the two-month-old closing auction framework for settlement of derivatives contracts,…Read the original at Mint
Key takeaways
- Category: Corporate Action.
- 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.
