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SEBI to partly reverse derivative settlement rules after industry pushback
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CNBC TV18•05-10-2026, 16:15
SEBI to partly reverse derivative settlement rules after industry pushback
- •SEBI plans to partly reverse its recent overhaul of the mechanism used to determine closing prices for key stocks and linked derivatives.
- •The new closing auction session mechanism led to sharp swings in derivatives prices on expiry days, triggering a regulatory review.
- •SEBI received around 20,000 suggestions to tweak the rules following a consultation paper issued last month.
- •The regulator will likely stop using the closing auction to calculate derivatives settlement prices for at least a year.
- •Instead, the volume-weighted average price of the last 30 minutes of trading will be used for derivative pricing.
Key Questions Answered
SEBI is reviewing the closing auction session (CAS) framework because it led to sharp price swings in derivatives on expiry days. After receiving extensive feedback and public suggestions, the regulator plans to modify the rules.
Instead of using the closing auction, SEBI is likely to use the volume-weighted average price of the last 30 minutes of trading to determine derivative settlement prices for at least a year.
Yes, a closing auction will still be utilized to determine the end-of-day prices for underlying stocks in the less liquid cash market.
