SEBI to review derivative settlement price methodology after CAS rollout

The Securities and Exchange Board of India (SEBI) is set to review the methodology used to determine settlement prices for derivative contracts following feedback received after the rollout of the Closing Auction Session (CAS).

SEBI introduced CAS in the equity cash segment from August 3, 2026, to determine the closing price of securities. Under the framework, the closing price determined through CAS also serves as the basis for determining settlement prices for derivative contracts on expiry.

The regulator said the CAS framework was introduced after extensive consultations, including two rounds of public consultation in December 2024 and August 2025, along with discussions with stock exchanges, broker associations, institutional investors, market participants and other stakeholders.

Since the rollout, SEBI has engaged with stock exchanges, brokers, proprietary traders, software vendors, mutual funds, industry associations and foreign portfolio investors (FPIs) to address operational and other issues arising during the initial period of adoption.

The regulator has also monitored the functioning of CAS and its market impact during its first month. It said it received feedback and suggestions from market participants and stakeholders through multiple channels, including social media and other media platforms.

“Among the issues raised, a significant area of feedback relates to the determination of settlement prices of derivative contracts on expiry based on the closing price determined through CAS,” SEBI said.

Having considered the initial experience with CAS and the feedback received, SEBI “may be proposing certain changes in the methodology for determination of settlement prices of derivative contracts”, the regulator said.

A consultation paper outlining the proposed changes is expected to be issued in about a week.

Separately,

BSE has been meeting with dealers to understand the decline in trading volumes since the new Closing Auction Session (CAS) was introduced last month. The exchange plans to take their feedback to regulators, BSE MD and CEO Sundararaman Ramamurthy said earlier today.

Also Read: CAS rollout hits trading volumes; BSE seeks fixes with regulators

Since CAS went live on August 3, trading activity in both the cash and derivatives segments has declined, with some measures showing premium turnover and contracts traded down 10–20% from July.

Ramamurthy said the decline largely reflects insufficient participation during the 15-minute CAS window.