Neutral impactOrders & Deals
SEBI retains existing derivatives settlement formula, tweaks closing auction
BusinessLine 1 hr ago·15 Oct 2026, 4:39 pm
SEBI has decided to keep the current method for settling derivative contracts, which uses a 30‑minute volume‑weighted average price (VWAP) for contracts that are expiring. The regulator also announced a small change to the closing auction, extending the trading window for stock‑index and stock‑specific derivatives to 3:45 pm on expiry days, a few minutes beyond the usual cut‑off.
For investors, the continuity of the VWAP‑based settlement means pricing and margin calculations will remain familiar, reducing the risk of sudden adjustments. The extra five minutes of trading gives market participants a bit more time to unwind or adjust positions before the final settlement, potentially easing last‑minute price swings.
Traders should keep an eye on how the extended auction impacts liquidity and volatility on expiry dates, and watch for any further regulatory tweaks that could affect settlement or trading windows in the future.
Excerpt from BusinessLine
The Securities and Exchange Board of India (SEBI) has retained the existing methodology for calculating settlement prices of expiring index and stock derivatives contracts, opting to use the volume-weighted average price (VWAP) of trades during the last 30 minutes of continuous trading rather than introducing a…Read the original at BusinessLine
Key takeaways
- Category: Orders & Deals.
Why it matters
A routine update. Use the price and stock snapshot to gauge how the market is responding.
