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India regulator plans changes to set expiry days' settlement prices for derivatives

  • The SEBI proposed changes to the closing auction process, including tightening the price band
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Photo: Reuters
Photo: Reuters
By Reuters

MUMBAI: India’s markets regulator proposed on Saturday to use both closing auction session (CAS) and volume-weighted average price (VWAP) to determine settlement prices for index and single-stock derivatives on expiry days, in a bid to improve the CAS system.

The Securities and Exchange Board of India also proposed changes to the closing auction process, including tightening the price band and cutting to five minutes from 10 the post-closing auction window for the derivatives segment.

SEBI Securities and Exchange Board of India India’s markets regulator VWAP CAS

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