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SEBI Expected to Partly Reverse New Derivatives Settlement Rules After Market Pushback
M
Moneycontrol•05-10-2026, 16:36
SEBI Expected to Partly Reverse New Derivatives Settlement Rules After Market Pushback
- •SEBI is reportedly planning to pause the use of closing auctions to calculate derivatives settlement prices for at least a year.
- •The decision follows sharp swings in derivatives prices on expiry days and extensive feedback from market participants.
- •The volume-weighted average price of the last 30 minutes of trading will be used instead for derivative pricing.
- •Closing auctions will still be utilized for underlying stocks in the less liquid cash market to determine end-of-day prices.
- •The regulator is expected to implement these changes by the end of the month following the receipt of 20,000 suggestions.
Key Questions Answered
SEBI is likely to stop using closing auctions to calculate derivatives settlement prices for at least a year following sharp price swings on expiry days and extensive feedback from market participants.
Sources indicate that instead of a single closing auction, the volume-weighted average price of the last 30 minutes of trading will be used to determine derivative pricing.
Yes, closing auctions will still be utilized to determine end-of-day prices for underlying stocks in the less liquid cash market.
