The Securities and Exchange Board of India (SEBI) on September 04, 2026, issued press release to review the Settlement Price methodology for Derivative Contracts in the light of CAS rollout.
SEBI had introduced the Closing Auction Session (CAS) in the Equity Cash Segment with effect from August 3, 2026, under its January 16, 2026 circular. The CAS-determined closing price is also used as the basis for determining settlement prices of derivative contracts on expiry.
Following the first month of implementation, SEBI has engaged with Stock Exchanges, brokers, institutional investors, proprietary traders, software vendors, mutual funds, FPIs and other stakeholders to address operational issues and has closely monitored the impact of CAS on the market. Stakeholder feedback has particularly raised concerns regarding the use of the CAS closing price for settlement of derivative contracts on expiry.
Based on the initial implementation experience and feedback received, SEBI is considering changes to the methodology for determining settlement prices of derivative contracts on expiry. A consultation paper is expected to be issued in about a week for stakeholder comments.
[PR No.53/2026]
