Archive · 11 Sep 2026
SEBI Keeps Closing Auction Session, Changes Derivatives Price Rules
India’s market regulator will keep a trading process called the Closing Auction Session, or CAS.
CAS helps determine the closing prices of stocks and other market instruments.
Some investors and traders are worried because prices moved sharply near the end of some expiry days.
SEBI is therefore considering different ways to calculate closing prices for futures and options.
It may publish possible changes for public consultation.
SEBI said CAS worked technically well during a recent MSCI market rebalancing.
The regulator also said new systems can have liquidity problems at first, meaning there may be fewer buyers and sellers.
SEBI is developing artificial-intelligence tools to spot risks earlier, but people will still make regulatory decisions.
It is also testing tokenised corporate bonds that could settle instantly through a wholesale digital currency system.
SEBI will retain the Closing Auction Session despite concerns about expiry-day volatility and liquidity.
The regulator is reworking how derivatives closing prices are determined and may seek public feedback on proposed solutions.
SEBI said CAS worked smoothly during the recent MSCI rebalancing, although some market participants have been affected by the settlement mechanism.
CAS-related liquidity concerns were also reported when similar systems were introduced in the United States, Japan and Hong Kong.
SEBI is advancing AI-based market supervision and piloting tokenised corporate bonds linked to wholesale digital-currency settlement.
- Who
- The Securities and Exchange Board of India, led by Chairman Tuhin Kanta Pandey, along with exchanges, brokers, traders and other market participants.
- What
- SEBI will retain the Closing Auction Session while revising the method for setting derivatives closing prices on expiry days.
- When
- The comments were made on Thursday; CAS was introduced in early August and monitored during its first month.
- Where
- The announcements were made at the Global Fintech Fest in Mumbai, India.
- Why
- SEBI is responding to concerns about sharp expiry-day index swings, thin liquidity and the effect of the current settlement-price mechanism.
SEBI’s Position
Market Participants’ Concerns
Whether CAS should remain
SEBI’s Position
SEBI says CAS is technically effective, worked well during the recent MSCI rebalancing and will stay in place.
Market Participants’ Concerns
Some market participants are concerned about thin liquidity and sharp last-minute movements after CAS was introduced.
How derivatives prices should be set
SEBI’s Position
SEBI plans to fine-tune the expiry-day methodology and may present solutions for public consultation rather than abandon CAS.
Market Participants’ Concerns
Market participants have raised concerns that making derivatives settlement prices dependent on the current mechanism can affect expiry-day trading and liquidity.
Expected liquidity effects
SEBI’s Position
SEBI says similar initial liquidity problems occurred in other jurisdictions and may ease as liquidity builds over time.
Market Participants’ Concerns
Market sources remain concerned about the immediate liquidity impact and may favor adjustments such as changing the reference-price calculation interval.
- Regulator
- Securities and Exchange Board of India (SEBI)
- Chairman
- Tuhin Kanta Pandey
- CAS decision
- The Closing Auction Session will remain in place.
- Derivatives review
- SEBI is considering changes to expiry-day closing-price calculations and may put proposals out for public consultation.
- Reported index swings
- The Sensex’s indicative price moved from 74,629 to 75,708 before settling at 74,902; the Nifty moved from 23,389 to 23,761 before ending at 23,477.
- AI supervision
- SEBI is working to implement the International Organization of Securities Commissions’ AI Supervisory Toolkit.
- Tokenised bonds
- SEBI has launched a pilot under Demat 2.0 using distributed-ledger technology and linking to the Reserve Bank of India’s wholesale central bank digital currency for instant settlement.
