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SEBI Reviews CAS-Based Derivatives Settlement Prices After Volatility
SEBI is the regulator that oversees India’s securities markets.
It is checking how prices for some financial contracts are decided when they expire.
These prices are linked to a closing process called the Closing Auction Session, or CAS.
CAS was introduced on August 3, 2026, to determine closing prices for securities.
Some market participants reported problems with the system.
These included different closing levels across exchanges, sudden options-price changes and concerns about possible manipulation.
During a recent Sensex expiry, the index dropped sharply during the auction, and some put-option prices rose by 400% to 500%.
SEBI says it will publish a paper asking for views on possible changes in about a week.
SEBI will review how derivative-contract settlement prices are determined at expiry.
The review follows feedback on the Closing Auction Session used to set equity closing prices.
CAS prices also serve as the basis for derivatives settlement prices on expiry.
During Thursday’s Sensex expiry, the index fell over 2,000 points in three minutes before ending 400 points lower.
SEBI plans to release a consultation paper on proposed changes within about a week.
- Who
- The Securities and Exchange Board of India, following feedback from exchanges, brokers, traders, funds and other market participants.
- What
- A review of the methodology used to determine settlement prices for derivative contracts at expiry.
- Where
- India’s equity and derivatives markets.
- When
- SEBI announced the review on September 3, 2026; the consultation paper is expected within about a week.
- Why
- The review follows feedback and concerns about CAS, including divergent exchange closing levels, volatile options pricing and potential manipulation on derivatives-expiry days.
Key facts
- Regulator
- Securities and Exchange Board of India (SEBI)
- Mechanism under review
- Closing Auction Session (CAS)-based methodology for derivative settlement prices
- CAS launch date
- August 3, 2026
- Consultation paper
- Expected within about a week
- Sensex expiry move
- The index fell over 2,000 points in three minutes during the closing auction and ended 400 points lower
- Options impact
- Some BSE Sensex put-option premiums rose 400% to 500% during the auction
- Feedback sources
- Stock exchanges, brokers, proprietary traders, software vendors, mutual funds, industry associations and foreign portfolio investors
Quotes
Securities and Exchange Board of India (SEBI)
India’s securities-market regulator
“Having considered the experience of the initial period of CAS implementation and the feedback received from various stakeholders, SEBI may be proposing certain changes in the methodology for determination of settlement prices of derivative contracts for which a consultation paper will be issued in about a week.”
thehindubusinessline.com
Sources
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