- SEBI will review derivative contract settlement prices after CAS introduction
- SEBI plans to issue a consultation paper on proposed changes within about a week
- Closing Auction Session began in equity cash segment on August 3, changing closing price determination
The Securities and Exchange Board of India will review how settlement prices for derivative contracts are determined after the introduction of the Closing Auction Session (CAS), following feedback from market participants during its first month of operation.
SEBI may propose changes to the methodology for determining settlement prices of derivative contracts on expiry and plans to issue a consultation paper in about a week, the regulator said in a press release on Thursday.
The review comes after the CAS began in the equity cash segment on August 3. Under the framework, the closing price determined through the auction also serves as the basis for determining settlement prices for derivative contracts on expiry.
The move could change how expiry settlement prices are calculated for derivative contracts, although SEBI has not yet set out the proposed changes. The regulator said the consultation paper would provide the details.
Feedback On Settlement Prices
SEBI said it has monitored the functioning of CAS and its impact on the market during its first month. It has also engaged with stock exchanges, brokers, proprietary traders, software vendors, mutual funds, industry associations and foreign portfolio investors to address operational and other issues arising from the rollout.
The regulator said it received feedback and suggestions from market participants and other stakeholders through multiple channels, including social media and other media platforms.
"Among the issues raised, a significant area of feedback relates to the determination of settlement prices of derivative contracts on expiry based on the closing price determined through CAS," SEBI said.
SEBI said it had considered the experience of the initial CAS implementation period and the feedback received from stakeholders before deciding to consider changes to the settlement-price methodology.
What Changed With CAS
SEBI introduced CAS in the equity cash segment from August 3 to determine the closing price of securities. The framework followed two rounds of public consultation, held on December 5, 2024, and August 22, 2025, along with discussions with its advisory committee and stakeholders including stock exchanges, broker associations, institutional investors and other market participants.
Under the new market schedule, non-F&O stocks continue regular trading until 3:30 p.m. F&O-eligible stocks stop continuous trading at 3:15 p.m. and then enter the closing auction, while stock and index derivatives trade until 3:40 p.m.
For F&O-eligible stocks, the closing auction runs after continuous trading ends. The auction price becomes the official closing price, and that price currently serves as the basis for determining settlement prices for derivative contracts on expiry.
ALSO READ: NSE Pre-Open Session Is Changing: What Stock Market Traders Need To Know
Essential Business Intelligence, Sharp Market Insights, Practical Personal Finance Advice, Daily Fuel, Gold and Silver Prices and Latest Stories — On NDTV Profit.