Business · Markets · 4 hrs ago
Sebi keeps 30-minute VWAP method for derivatives settlement
India’s markets regulator Sebi revised its closing auction rules after concerns about the new system’s price swings and low liquidity.
The changes keep the 30-minute volume-weighted average price method for settling index derivatives and expiring stock derivatives.
This method uses prices from the final 30 minutes of continuous trading, between 3 pm and 3:30 pm.
The closing auction will become a separate 10-minute session from 3:30 pm to 3:40 pm on trading days.
The auction system began on August 3, and traders had raised concerns about settlement prices and sharp price movements.
Most changes take effect on December 7, 2026, while rules for carrying unexecuted limit and iceberg orders into the auction begin on February 8, 2027.
India’s market regulator, Sebi, will use a 30-minute volume-weighted average price method to settle derivatives.
The method applies to index derivatives and expiring stock derivatives, reversing a change that had raised concerns over sharp price swings.
The revised closing auction session will run for 10 minutes, from 3:30 pm to 3:40 pm on trading days.
Most changes take effect on December 7, 2026, while changes to the handling of unexecuted orders take effect on February 8, 2027.
- Who
- The Securities and Exchange Board of India (Sebi), India’s markets regulator.
- What
- It retained the 30-minute VWAP method for derivatives settlement and revised the closing auction session framework.
- When
- The revisions were announced on October 15, 2026. Most take effect on December 7, 2026.
- Where
- India’s equity cash and derivatives markets.
- Why
- The closing auction approach prompted concerns about sharp price swings and low liquidity, and the consultation received more than 20,000 suggestions.
This story does not have two clearly opposing sides.
The closing auction session became effective.
Sebi proposed changes in a review plan and issued a consultation paper.
Sebi announced revisions to the closing auction framework, including the 30-minute VWAP settlement method.
Most of the revised framework is due to take effect.
Changes to the transition of unexecuted limit and iceberg orders are due to take effect.
- Index derivatives
- Settlement uses constituent securities’ VWAP from 3:00 pm to 3:30 pm.
- Expiring stock derivatives
- Settlement uses the underlying stock’s VWAP over the last 30 minutes of continuous trading across stock exchanges.
- Closing auction session
- 3:30 pm to 3:40 pm on trading days.
- Consultation feedback
- More than 20,000 suggestions received.
- Main implementation date
- December 7, 2026
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What people are saying
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