Stories
SEBI to Address Derivative Settlement Price Concerns on Expiry Days: Pandey
M
Moneycontrol•22-09-2026, 19:41
SEBI to Address Derivative Settlement Price Concerns on Expiry Days: Pandey
- •SEBI Chairman Tuhin Kanta Pandey announced the regulator's intent to address concerns regarding derivative settlement prices on expiry days and related issues.
- •A consultation paper was issued earlier this month, seeking public comments on proposed changes to the methodology for determining expiry-day settlement prices of index and single-stock derivatives.
- •Proposals include delinking derivative settlement prices from cash-market closing prices and discontinuing live indicative index values during the Closing Auction Session (CAS).
- •SEBI proposed two options for settlement price determination: Blended VWAP (last 30 minutes of Continuous Trading Session and 10-minute CAS) or retaining the existing CTS Volume Weighted Average Price (VWAP) methodology.
- •The regulator is also consulting on net settlement of funds for mutual fund schemes in the cash market and developing a comprehensive market-making framework for corporate bonds.
Key Questions Answered
SEBI floated a consultation paper proposing two options: Blended VWAP based on the last 30 minutes of continuous trading and a 10-minute closing auction, or retaining the existing continuous trading VWAP methodology as an interim measure for at least a year.
The Closing Auction Session was introduced in the equity cash segment for stocks with derivative contracts starting on August 3.
SEBI proposed discontinuing live indicative index values during the Closing Auction Session and making orders placed beyond the one percent band more binding.
