MONEY
SEBI revises CAS framework, reverts to old pricing formula for derivatives settlement
- IBJ Bureau
- Oct 16, 2026
The Securities and Exchange Board of India (SEBI) has revised the framework for the closing auction session (CAS), changing trading timings and the methodology for determining settlement prices of stock and index derivatives contracts.
Under the revised framework, the 10-minute CAS will operate from 3:30 pm to 3:40 pm on all trading days.
Trading in index and stock derivatives will continue until 3:45 pm, with certain exceptions for expiring index derivatives contracts, the markets regulator has said in a circular.
Further, a key change pertains to the settlement of expiring derivatives contracts, which will now be based on a volume-weighted average price (VWAP) methodology using the last 30 minutes of continuous trading.
The revisions follow a review of the existing framework, consideration of public comments, recommendations of the SEBI’s Secondary Market Advisory Committee and discussions with stock exchanges.
The changes are aimed at improving transparency and price discovery while ensuring a more orderly closing process.
The modifications, except those relating to the transition of unexecuted limit and iceberg orders from the continuous trading session to the CAS, will come into effect from December 7.
The provisions governing the transition of such orders will be implemented from February 8, 2027.
The SEBI had introduced the CAS framework in the equity cash segment from August 3 to determine the closing price of securities.
Under the existing framework, the closing price determined through CAS also serves as the basis for calculating settlement prices of derivatives contracts on expiry.
Following concerns over this methodology, the SEBI had proposed changes in September and issued a consultation paper seeking public comments.
Under the revised schedule, the closing auction session will begin at 3:30 pm with reference price calculation and the transition of orders from the continuous trading session.
Order entry for both limit and market orders will be allowed from 3:31 pm to 3:36 pm, followed by a period during which only limit orders can be placed.
The session will close randomly between 3:38 pm and 3:40 pm.
Report By
View Reporter News