- SEBI received over 20,000 responses on its Call Auction Session reform consultation paper
- ANMI President Kamlesh Shroff stressed feedback seeks careful reform, not opposition to CAS
- Market expert Venkatachalam Shunmugam expects SEBI to retain blended CAS to preserve progress
Market voices want the Securities and Exchange Board of India (SEBI) to refine the reformatory initiative of Call Auction Session (CAS) mechanism, rather than abandoning it, noting that the massive feedback received by the regulator shows that stakeholders want the reform to be implemented accurately.
SEBI, over the weekend, said it has received more than 20,000 respinses on its consultation paper that seeks to review the mechanism for determining settlement prices for stocks linked to the futures and options (F&O) segment.
The consultation paper put forth two distinct paths to resolve recent expiry-day volatility. Option 1 offers a blended approach that calculates the closing price using a mix of the CAS and the Volume-Weighted Average Price (VWAP), whereas Option 2 suggests putting the brakes and reverting to the 30-minute VWAP method for at least a year.
Kamlesh Shroff, National President of the Association of National Exchanges Members of India (ANMI), told NDTV Profit that the massive volume of public feedback reflects a collective desire to ensure the transition is handled carefully, not outright opposition.
"I would interpret that 20,000 people being, you know, not against CAS, but I would interpret [it] as 20,000 inputs for a market that wants to get this important reform right," Shroff said.
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Rejecting the idea of a one-year delay, Shroff stressed that establishing a credible expiry price is paramount for NAV and portfolio valuations. "Getting the right closing price, I'm sure, is the most fundamental point that is here. So probably you start with option two and let the market evolve and take it forward," he added.
Venkatachalam Shunmugam, Partner at MCQube, was of the view that SEBI is likely to stick with the blended CAS mechanism to avoid unraveling the progress traders have made in adapting to the auction system since its August rollout.
"When you actually try to remove the traders from the CAS screen, that basically means that whatever they have been building up so far from, you know, August to September, actually might go back to wherever it is," Shunmugam argued.
He noted a remarkable increase in trading volumes across exchanges, indicating that participants are successfully learning how to navigate the mechanism.
However, Shunmugam acknowledged that while overall participation has grown, the depth of the order books remains uneven. Pointing to the risk of price distortions in thin order books, he noted, "That is where the concern is, where, you know, there could be some possibility of manipulation," which he believes justifies SEBI's attempt to refine the mechanism rather than scrap it.
ALSO READ: SEBI Receives 20,000 Comments On Consultation Paper Regarding Closing Auction Session
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