The market regulator will issue new guidelines for price settlement in the derivatives segment during the closing auction session in about a week, said the Securities and Exchange Board of India (Sebi) chairman, Tuhin Kanta Pandey, on Saturday.
“Following review of the Closing Auction Session (CAS), a consultation paper was put out to address concerns in respect of the settlement price of derivatives on expiry day. We are currently examining the comments and hope to issue guidelines in about a week’s time,” Pandey said at a BSE Broker’s Forum event.
CAS was introduced on 3 August to determine closing prices for select futures and options (F&O) stocks in India, replacing the previously used volume-weighted average price (VWAP) mechanism.
However, the framework ran into several issues just a month into its operations, attracting backlash from market participants. One of the major concerns was abrupt price swings and uncertainty on expiry days in the derivatives market.
In response, the market regulator issued a consultation paper to review the settlement methodology for derivatives contracts.