SEBI keeps VWAP settlement for expiring derivatives, sets CAS 3:30-3:40
SEBI just announced it is keeping the way expiring stock and index derivatives are settled, using the volume-weighted average price (VWAP) of trades during the last 30 minutes of the Continuous Trading Session (CTS) in the equity cash segment.
This comes after concerns about sharp price movements during the closing auction session (CAS).
Instead of changing how settlements work, SEBI is retaining the settlement method while also revising CAS timing and other trading/order rules, with CAS set to run from 3:30pm to 3:40pm.
SMAC backs retention, implementation dates set
This move follows a review by SEBI's Secondary Market Advisory Committee (SMAC) that met to discuss the September 12 consultation paper and recommended retaining the earlier method for settling prices on expiry days rather than a blended method.
The new CAS timing kicks in on December 7, 2026. For changes to the handling of unexecuted limit and iceberg orders, changes will apply from February 8, 2027.
Stock exchanges and clearing corporations have a week to modify their standard operating procedures in consultation with SEBI.