Archive · 4 Sep 2026
SEBI Reviews Derivatives Settlement Methodology After CAS Volatility
SEBI is the regulator that oversees India’s securities markets.
It is checking how prices for some financial contracts are decided when those contracts expire.
The prices are connected to a process called the Closing Auction Session, or CAS.
CAS was introduced on August 3, 2026, to help determine closing prices for securities.
Some market participants reported problems after it began.
These included different closing levels across exchanges, sharp changes in options prices and concerns about possible manipulation.
During a recent Sensex expiry, the index dropped more than 2,000 points during the closing auction before ending about 400 points lower.
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 after the rollout of the Closing Auction Session.
The CAS began on August 3, 2026, to determine closing prices in India’s equity cash market.
CAS-based prices also form the basis for settling derivative contracts when they expire.
During Thursday’s Sensex expiry, the index briefly fell more than 2,000 points, with reports citing a drop of over 2,100 points or 2.5% in indicative pricing.
SEBI plans to issue a consultation or discussion paper on proposed changes in about a week.
- Who
- The Securities and Exchange Board of India, after receiving feedback from exchanges, brokers, traders, funds, software vendors, industry groups and foreign portfolio investors.
- What
- A review of the methodology used to determine settlement prices for derivative contracts at expiry.
- When
- SEBI announced the review on September 3, 2026; the consultation or discussion paper is expected in about a week.
- Where
- India’s equity cash and derivatives markets.
- Why
- The review follows feedback and volatility associated with the Closing Auction Session, including divergent exchange closing levels, volatile options pricing and concerns about potential manipulation.
- Regulator
- Securities and Exchange Board of India (SEBI)
- Mechanism
- Closing Auction Session (CAS)
- CAS launch
- August 3, 2026
- Proposed next step
- A consultation or discussion paper is expected in about a week.
- Sensex expiry movement
- The Sensex fell more than 2,000 points during the closing auction before ending about 400 points lower.
- Options impact
- Some BSE Sensex put-option premiums reportedly rose 400% to 500% during the auction.
- Earlier consultations
- SEBI cited public consultations held on December 5, 2024, and August 22, 2025.
