Archive · 5 Oct 2026
SEBI May Restore 30-Minute VWAP for Derivatives Settlement
SEBI introduced a short auction at the end of the trading day to help set closing prices for some stocks.
Those stocks also have related futures and options contracts.
The new auction process was followed by sharp price swings in derivatives on expiry days.
News reports say SEBI may stop using the auction to set derivatives settlement prices for at least a year.
Instead, those prices may be based on the average trading price during the final 30 minutes.
The auction would still be used to set closing prices for some less-liquid stocks.
SEBI said it received 20,000 suggestions about possible changes.
Sources said the changes may be put in place by the end of October, but SEBI had not officially confirmed the reported plan.
SEBI is reportedly considering suspending use of the Closing Auction Session (CAS) for derivatives settlement for at least a year.
Under the reported plan, derivatives settlement prices would use the volume-weighted average price (VWAP) from the final 30 minutes of trading.
The CAS would continue determining closing prices for underlying stocks in the less liquid cash market.
The review follows sharp derivatives price swings on expiry days after CAS was introduced.
SEBI said it received 20,000 suggestions on proposed changes, which sources said could be implemented by the end of October.
- Who
- India’s Securities and Exchange Board of India (SEBI), according to sources cited in reports.
- What
- SEBI is reportedly considering using the final 30-minute VWAP for derivatives settlement instead of the closing auction for at least a year.
- When
- Reports dated October 5 said the changes could be implemented by the end of October; SEBI reported receiving comments through October 3, 2026.
- Where
- India’s securities markets.
- Why
- Sharp derivatives price swings on expiry days after the Closing Auction Session was introduced prompted SEBI to review the mechanism.
Support for changes
Concerns about changes
Derivatives settlement method
Support for changes
Reported sharp derivatives price swings on expiry days have prompted SEBI to consider using the final 30-minute VWAP instead of CAS for settlement prices.
Concerns about changes
The articles report market participants seeking changes to CAS due to complexities, but do not identify a specific opposing position on the proposed VWAP substitution.
Indicative index values during CAS
Support for changes
SEBI proposed publishing indicative prices for individual stocks but not the indicative index value during the CAS window; a source said the regulator agreed that the underlying index price is only determined at the window’s end.
Concerns about changes
Feedback said sophisticated trading desks could reconstruct index values independently, and that removing the indicative value could reduce transparency without addressing manipulation concerns.
Trading timelines
Support for changes
The proposed timing changes were part of SEBI’s consultation on CAS and derivatives settlement.
Concerns about changes
Some feedback supported keeping regular market trading until 3:30 p.m. and derivatives trading until 3:45 p.m., saying this would aid price discovery and align derivatives trading with the cash-market close.
- Mechanism under review
- Closing Auction Session (CAS), introduced for stocks linked to futures and options.
- Reported derivatives pricing method
- Volume-weighted average price over the final 30 minutes of trading.
- Reported suspension period
- At least one year without using CAS to calculate derivatives settlement prices.
- Cash-market stock prices
- CAS would reportedly remain in use for end-of-day prices of underlying stocks in the less liquid cash market.
- Public feedback
- SEBI said it received 20,000 suggestions on proposed changes.
- Expected timing
- Sources said implementation could take place by the end of October.
- Confirmation status
- The plan was reported by sources; SEBI had not officially confirmed it, and a spokesperson did not respond to Reuters' request for comment.
- Other CAS feedback
- SEBI had proposed stopping publication of indicative index values during the 10-minute CAS window; feedback included concerns about transparency and investor awareness.
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
