SEBI weighs blended VWAP for expiry day derivatives settlement
SEBI is looking to shake up the way expiry-day derivatives are settled.
They're considering a new "Blended VWAP" pricing method, which mixes trades from both the last 30 minutes of regular trading and 10 minutes of the Closing Auction Session (CAS).
The other option? Just stick with the current system that uses only the last 30 minutes.
The goal: make closing prices more transparent and fair for everyone.
CAS lifts average premiums NSE/BSE ₹189.82cr/₹288.94cr
Since CAS rolled out on August 3, 2026, activity has jumped: average premiums per minute hit ₹189.82 crore on NSE and ₹288.94 crore on BSE, way above previous levels.
SEBI says they might switch to Blended VWAP after a year if traders are ready and market conditions look good.
All these tweaks aim to improve price discovery and keep things running smoothly for everyone trading derivatives.