SEBI likely to issue consultation on derivatives settlement Sept 12
SEBI is likely to issue a consultation paper on September 12 to get everyone's thoughts on how settlement prices for derivatives should be calculated.
This comes after some pretty wild index swings during expiry days since the Closing Auction Session (CAS) kicked off in August.
The goal? Make things fairer and improve market practices.
CAS auction replaces VWAP method
CAS now decides closing prices for stocks tied to derivatives using an auction, replacing the old VWAP method.
Even though some folks are worried about the new process, SEBI Chairman Tuhin Kanta Pandey says, "CAS is here to stay," pointing out its smooth run during MSCI rebalancing.
SEBI has already talked with stock exchanges, brokers, proprietary traders, software vendors, mutual funds, industry associations, and foreign portfolio investors to make sure everyone's voice is heard.