The Securities and Exchange Board of India (SEBI) has revised the framework for the Clearing and Settlement (CAS) mechanism, introducing changes to the auction window and the calculation of reference prices for eligible securities.
In a late-night circular issued on Thursday, SEBI said that closing prices on derivatives expiry days — Tuesdays and Thursdays — will be calculated using the volume-weighted average price (VWAP) of trades executed during the final 30 minutes of the continuous trading session (CTS). The revised rules will come into effect on December 7, 2026.
In September, the regulator proposed two options for calculating settlement prices for index and single-stock derivatives on expiry days:
It proposed a blended VWAP based on trades executed during the final 30 minutes of the Continuous Trading Session (CTS) and the 10-minute Closing Auction Session (CAS), or retaining the existing method based solely on the final 30 minutes of CTS trading.
The Closing Auction Session (CAS) will operate as a separate 10-minute session from 3:30 p.m. to 3:40 p.m. on all trading days. The order-entry window will close at a randomly determined time, with the closure controlled by the system.