The Securities and Exchange Board of India (SEBI) is reportedly considering changes to the methodology used for determining settlement prices of derivative contracts under the Closing Auction Session (CAS).
According to a report, SEBI may issue a consultation paper addressing concerns raised by market participants regarding derivative settlement prices, particularly on expiry days. The proposed changes are expected to focus on improving the reliability and predictability of settlement-price determination rather than withdrawing the CAS mechanism.
The matter is reportedly expected to be considered at the SEBI Board meeting scheduled for September 24, 2026. The regulator has previously indicated that the Closing Auction Session will continue while concerns associated with its implementation are examined.
The CAS framework, introduced from August 3, 2026, shifted eligible futures-and-options stocks from continuous trading into a closing auction beginning at 3:15 pm. The auction process is intended to establish the official closing price through matching of buy and sell orders.
Under the current trading structure, non-F&O stocks continue trading until 3:30 pm, while stock and index derivatives remain available until 3:40 pm.
The implementation of CAS has resulted in notable price fluctuations, particularly around derivatives expiry sessions. Market participants have raised concerns that relatively limited participation during the auction could make closing prices more sensitive to individual orders and increase uncertainty for expiry-day derivative strategies.
The proposed review is therefore expected to examine the settlement-price calculation methodology and related market-impact concerns while retaining the Closing Auction Session framework. CASansaar