Securities and Exchange Board of India is preparing a consultation paper to examine how expiry settlement prices for derivatives are calculated after the introduction of the Closing Auction Session. The regulator has decided to act after receiving feedback from brokers, exchanges, mutual funds and investors during the first month of CAS operations.
CAS was introduced on August 3 in the equity cash segment. Under this system, non F&O stocks continue trading until 3:30 p.m. while F&O eligible stocks stop continuous trading at 3:15 p.m. and then enter a closing auction. Derivatives trade until 3:40 p.m. The auction determined price becomes the official closing price and is used for settlement.
Market participants have expressed concerns about the settlement price methodology and its impact on expiry functioning. SEBI has collected inputs from stock exchanges, brokers, traders, mutual funds, foreign portfolio investors and industry associations.
The regulator aims to improve transparency and fairness in settlement. The consultation paper is expected within a week and will outline possible changes. Stakeholders will be invited to share their views before SEBI finalises the revised framework.
This move highlights SEBI’s intent to strengthen market processes and ensure that expiry settlement remains efficient, transparent and fair for all participants.