Sebi’s Proposed CAS Changes: Key Implications for Expiry-Day Trading and Settlement Explained.

The Securities and Exchange Board of India (SEBI) has announced significant modifications to the Closing Auction Session (CAS) and the settlement methodologies for derivatives, influenced by observations made since the introduction of CAS in August 2026. The regulator is soliciting public comments on seven proposals which include two distinct options for determining the expiry-day settlement price for derivatives—Blended VWAP and CTS VWAP—alongside alternative trading timings aimed at optimizing market functionality. The feedback period is set to conclude on October 3, 2026, indicating an active engagement with market participants on these profound changes.

For the proposed settlement methodologies, the Blended VWAP would utilize both trades executed during the last 30 minutes of Continuous Trading Session (CTS) and the final 10 minutes of CAS, merging the traded values without predetermined weights. Alternatively, the CTS VWAP focuses solely on the last half-hour of CTS for determining settlement prices. This augmented focus on blended methodologies represents a shift toward more integrated market practices aimed at enhancing price discovery and minimizing volatility during execution. SEBI’s decision to clarify the role of the Indicative Equilibrium Price (IEP) during CAS further aims to reduce market misinformation regarding actual transaction prices, proposing the cessation of IEP-derived Indicative Index Values during auctions.

Regarding trading timing proposals, SEBI offers two options to either extend or shorten the Continuous Trading Session and CAS. Option A preserves a longer period for CTS before transitioning into CAS, while Option B shortens this timeframe, aligning it more closely with current practices. These adjustments reflect regulatory responsiveness to traders’ feedback, demonstrating a commitment to refining market mechanics for improved liquidity and operational efficiency. The proposed measures concerning Iceberg orders aim to enhance the visibility of unexecuted trading interest, allowing better integration into CAS to ensure sufficient liquidity during closing transactions.

Source: The Economic Times

(Expert Note: This intelligence brief was structured and verified by the Wealthova editorial desk.)