2 hrs ago
SEBI May Restore 30-Minute VWAP for Derivatives Settlement
SEBI recently introduced a short auction at the end of the trading day to help set some stock prices.
Those stocks also have linked futures and options contracts.
The new process was followed by sharp price swings in derivatives on expiry days.
SEBI is now considering changing part of the system.
For at least a year, derivatives settlement prices may instead be based on the average trading price during the final 30 minutes.
The closing auction would still be used to set prices for some less-liquid stocks.
SEBI said it received 20,000 suggestions about the proposed changes.
The changes are expected by the end of October, but the regulator has not confirmed the reported plan.
SEBI is considering partly reversing its recently introduced closing auction session rules.
The closing auction has been linked to sharp derivatives price swings on expiry days.
Under the reported plan, derivatives settlement prices would use the final 30 minutes’ volume-weighted average price for at least a year.
Closing auctions would still determine end-of-day prices for underlying stocks in the less liquid cash market.
SEBI said it received 20,000 suggestions on its proposed rule changes and is expected to implement revisions by the end of October.
- Who
- India’s Securities and Exchange Board of India (SEBI).
- What
- SEBI is expected to partly reverse its closing auction rules, using the final 30 minutes’ VWAP for derivatives settlement for at least a year.
- Where
- India’s securities markets.
- When
- The proposed changes were expected by the end of October; the Reuters report was dated October 5.
- Why
- The closing auction mechanism has led to sharp derivatives price swings on expiry days, and SEBI received public suggestions on the rules.
Key facts
- New mechanism
- Closing auction session (CAS), introduced the previous month for stocks with linked futures and options.
- Proposed derivatives pricing
- Volume-weighted average price (VWAP) over the final 30 minutes of trading.
- Proposed duration
- At least one year without using the closing auction to calculate derivatives settlement prices.
- Cash-market stocks
- Closing auctions would continue to determine end-of-day prices for underlying stocks in the less liquid cash market.
- Public feedback
- SEBI said it received 20,000 suggestions in response to a consultation paper.
- Expected implementation
- By the end of October, according to the reports.
- Regulatory comment
- A SEBI spokesperson did not respond to a request for comment.
Quotes
A source quoted by Reuters
A source commenting on SEBI's proposed CAS changes.
“The regulator agrees but will push for greater awareness among investors that the underlying index price is only determined at the end of the 10-minute window.”
financialexpress.com
“The number of comments received till 7:00 PM today, i.e. October 3, 2026, stands at 20,000.”
financialexpress.com
Sources
SEBI Likely To Revise Closing Auction Rules, Restore 30-Minute VWAP For Derivatives Settlement
SEBI may partly reverse Closing Auction Session: Reuters
SEBI may partly reverse closing auction rules after sharp derivatives price swings: Report
SEBI to partly reverse derivative settlement rules after pushback, sources say
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