CAS Closing Price Under Review: Regulatory Body Proposes Two Options for Expiry Settlement

The Securities and Exchange Board of India (SEBI) is considering changes to the calculation of settlement prices for derivatives. Currently, two alternative methods are under review, with a focus on gathering stakeholder feedback. These proposed revisions are designed to address existing concerns regarding the reliance on prices established during the closing auction session. Stakeholders, including market participants and industry experts, are encouraged to submit their comments and insights by October 3rd.

The two proposed approaches include the adoption of a blended Volume Weighted Average Price (VWAP) method, which may provide a more representative price by incorporating trading volumes over a period, and the option to retain the current settlement pricing methodology. These discussions come as part of SEBIs ongoing efforts to enhance market efficiency and address liquidity issues in the derivatives segment. Stakeholder feedback will play a crucial role in shaping the future of derivative settlements in India.