SEBI To Reassess Derivative Settlement Price Rules After CAS Launch
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SEBI plans to review derivative settlement price calculations after concerns emerged following the Closing Auction Session rollout. A consultation paper proposing possible methodology changes is expected within a week.
The Securities and Exchange Board of India (SEBI) is set to review how settlement prices for derivative contracts are calculated following the introduction of the Closing Auction Session (CAS).
The regulator introduced CAS in the equity cash market on 3 August 2026. Under the new framework, the closing price established during the auction is also used to calculate settlement prices for derivative contracts expiring on that day.
Regulator Reviews Feedback From Market Participants
SEBI said it has been assessing the initial impact of CAS and gathering feedback from various market participants. The regulator has held discussions with stock exchanges, brokers, proprietary traders, technology providers, mutual funds, industry bodies and foreign portfolio investors (FPIs).
The framework itself was introduced following extensive consultations with the industry. These included public consultation exercises conducted in December 2024 and August 2025.
SEBI said market participants have raised several operational concerns since CAS was introduced. Feedback has been received through interactions with industry participants, as well as through social media and other media channels.
One of the key concerns relates to the use of the CAS-derived closing price for determining derivative settlement prices on expiry.
Consultation Paper Expected Within A Week
After reviewing the initial experience and feedback, SEBI said it may make changes to the methodology used for determining derivative settlement prices.
The regulator is expected to release a consultation paper setting out the proposed changes within approximately a week.
The review comes as exchanges continue to assess the impact of CAS on trading activity. BSE’s Managing Director and CEO, Sundararaman Ramamurthy, said the exchange has been speaking with dealers to understand the decline in volumes since the new auction mechanism was introduced.
BSE plans to share the feedback it gathered from dealers with the regulator. Since CAS began on 3 August, activity across the cash and derivatives markets has weakened, with premium turnover and the number of contracts traded falling by around 10–20% compared with July.
Ramamurthy attributed much of the decline to limited participation during the 15-minute CAS window.
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Vishwa has spent 10+ years across fintech and FMCG doing what most people miss, connecting the dots, catching trends before they trend, and finding the angle nobody else thought to ask about.
At Kotak Neo, she drives content strategy for neoshorts, Kotak News Desk, and Investing Guide, turning market noise into something worth reading.
When she's not decoding markets, she trades charts for canvases, chasing art, painting, and architecture across cities she's yet to explore.
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