SEBI plans 30-minute VWAP replacing CAS for derivatives settlement
SEBI is planning a big switch in how it settles prices for derivatives, following concerns over sharp price swings on expiration days.
The current method, called the Closing Auction Session (CAS), could stop being used to calculate derivatives settlement prices for at least a year.
Instead, SEBI wants to use the volume-weighted average price (VWAP) of the final 30 minutes of trading, hoping this will reduce sharp expiry-day swings.
CAS likely retained for less-liquid stocks
CAS was supposed to help set closing prices smoothly but ended up causing some serious ups and downs in futures and options.
After getting about 20,000 suggestions, SEBI is likely to keep CAS for less-liquid stocks in the cash market.
For derivatives, expect the VWAP of the final 30 minutes of trading by the end of October 2026, aimed at making trading more stable (and way less stressful) for everyone involved.