- SEBI will hold a SMAC meeting Thursday to discuss feedback on proposed CAS changes
- The meeting focuses on responses to SEBI's consultation paper on Closing Auction Session
- Market participants favor keeping the current VWAP method for derivatives settlement prices
The Securities and Exchange Board of India (SEBI) has called a meeting of its Secondary Market Advisory Committee (SMAC) on Thursday to discuss feedback received on its proposed changes to the Closing Auction Session (CAS) framework, multiple sources familiar with the matter told NDTV Profit.
The meeting has a single-point agenda: deliberations on the responses to SEBI's consultation paper on CAS, the sources said. The regulator has not circulated a detailed agenda, leaving the committee to discuss stakeholder feedback before SEBI takes a final call on the proposed framework.
“SEBI has not shared the exact agenda but consultation paper only. Seems the regulator does not want to reveal its mind and prefer the policy based on public and stakeholders' inputs,” source told NDTV Profit.
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Market participants have largely favoured retaining the existing volume-weighted average price (VWAP) methodology for calculating derivatives settlement prices, rather than immediately shifting to a blended model that incorporates prices discovered during the closing auction, the sources said.
The SMAC meeting assumes significance as SEBI weighs whether to continue with the existing mechanism for an interim period or proceed with the proposed changes. A final circular could follow shortly after Thursday's deliberations, although the decision and implementation timeline will depend on the regulator's assessment of stakeholder feedback.
In its consultation paper issued on September 12, SEBI outlined two options for calculating settlement prices for index and single-stock derivatives on expiry days. The consultation process closed on October 3, with the regulator receiving around 20,000 comments.
Under the first proposal, SEBI suggested a blended VWAP methodology that would factor in trades executed during the last 30 minutes of the continuous trading session (CTS) and the subsequent 10-minute CAS. The calculation would account for traded value across both periods.
The second option proposes retaining the existing CTS-only VWAP methodology as an interim arrangement for at least a year, before considering a shift to the blended model following a review.
CAS was introduced for stocks in the derivatives segment on August 3, 2026, to improve closing-price discovery. However, its implementation raised concerns among market participants over price movements during the auction and their potential impact on derivatives settlement prices.
SEBI is also considering other proposed changes relating to CAS, including market timings and the dissemination of indicative index values during the auction.
Last week, SEBI Chairman Tuhin Kanta Pandey said the regulator expected to issue the CAS framework within about a week. He was speaking at the second Capital Market Confluence 2026, organised by the Bombay Stock Exchange Brokers' Forum in Mumbai.
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Pandey said SEBI was examining comments received on its consultation paper following a review of the CAS framework.
The regulator's decision is being closely watched by market participants, given the implications of the settlement-price methodology for derivatives contracts on expiry days. While reports have suggested that SEBI could retain the existing calculation method for at least a year, the final position will depend on the outcome of its review.
In a post on X on October 3, SEBI said it had received 20,000 comments on the consultation paper by 7 p.m. that day. The paper sought feedback on proposed changes to CAS, market timings and the settlement methodology for derivative contracts.
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