SEBI proposes changing how expiry-day settlement prices of derivatives are fixed after the Closing Auction Session; comment window closed on 3 October 2026
A SEBI consultation paper issued on 12 September 2026 proposes two options for the expiry-day settlement price of index and stock derivatives — a blended VWAP of the last 30 minutes of continuous trading and the 10-minute Closing Auction Session, or the earlier 30-minute VWAP for an interim period. It also proposes revised market timings and changes to auction orders. Comments were due by 3 October 2026; the window has closed.
Key facts
- In force
- Proposal only; comments were due by 3 October 2026 (window closed)
- Who it affects
- Traders in index and stock derivatives, stock brokers, stock exchanges, clearing corporations, institutional investors and arbitrageurs
- What it is
- Comments invited
- Section
- SEBI
- Published
- 12 September 2026
In 30 seconds
- The Closing Auction Session (CAS) for F&O stocks went live on 3 August 2026; the paper reviews it after the initial experience.
- Option 1 (Blended VWAP): settlement price based on trades in the last 30 minutes of the Continuous Trading Session (CTS) and the 10 minutes of CAS, weighted by actual traded value.
- Option 2 (CTS VWAP): only the last 30 minutes of CTS, as before CAS, for an interim period; a move to the blended method to be considered after not less than one year.
- Proposed: the IEP-derived Indicative Index Value should not be disseminated during CAS; security-level IEPs would continue.
- Two timing options: CTS till 3:30 p.m. with F&O till 3:45 p.m., or CTS for CAS stocks till 3:15 p.m. with F&O till 3:30 p.m.
- Proposed: limit orders beyond ±1% of the Reference Price cannot be cancelled during CAS; unexecuted iceberg orders carry into CAS as normal limit orders.
हिंदी में सार
SEBI ने 12 सितंबर 2026 के कंसल्टेशन पेपर में प्रस्ताव रखा है कि एक्सपायरी के दिन डेरिवेटिव का सेटलमेंट प्राइस या तो आख़िरी 30 मिनट की ट्रेडिंग और 10 मिनट के Closing Auction Session के मिले-जुले VWAP से तय हो, या फ़िलहाल पुराने तरीके (आख़िरी 30 मिनट का VWAP) से। बाज़ार के समय, ±1% से बाहर के ऑर्डर रद्द न होने और iceberg ऑर्डर पर भी प्रस्ताव हैं। ये सिर्फ़ प्रस्ताव हैं, फ़ैसला नहीं; टिप्पणी की आख़िरी तारीख़ 3 अक्टूबर 2026 थी, जो निकल चुकी है।
Before and now
Since 3 August 2026 it is based on closing prices discovered in the Closing Auction Session; before that, on the VWAP of the last 30 minutes of continuous trading.
Proposed (not decided): either a blended VWAP of the last 30 minutes of CTS and 10 minutes of CAS, or the 30-minute CTS VWAP alone for an interim period of at least one year.
What the paper is about
SEBI issued a consultation paper on 12 September 2026 on certain aspects of the Closing Auction Session (CAS), market timings and the settlement methodology for derivatives contracts. These are proposals for public comment, not decisions. Comments were to be submitted latest by 3 October 2026; that window has now closed.
CAS was introduced in the equity cash segment for stocks on which derivatives are available (F&O stocks) from 3 August 2026. Before CAS, the closing price was the volume weighted average price (VWAP) of trades in the last 30 minutes of the Continuous Trading Session (CTS). Under CAS it is an equilibrium price discovered from the buy and sell orders in the auction.
What SEBI observed
Derivatives trading continues while the underlying stocks go through the auction. Comparing expiry days before CAS (February to July 2026) and after (3 August to 3 September 2026), the paper records that the average premium traded per minute in expiring benchmark index options on NSE rose from ₹126.31 crore (3:00–3:30 p.m., pre-CAS) to ₹189.82 crore (3:20–3:30 p.m., during CAS), and on BSE from ₹141.48 crore to ₹288.94 crore. Participants are also understood to be acting on the Indicative Equilibrium Price (IEP), which is not an executed price.
Settlement price: two options
| Point | At present (from 3 Aug 2026) | Option 1 — Blended VWAP | Option 2 — CTS VWAP |
|---|---|---|---|
| Relevant period | 10 minutes of CAS | Last 30 minutes of CTS and 10 minutes of CAS | Last 30 minutes of CTS only |
| CAS contribution | 100% | In proportion to actual traded value; no predetermined weight | None during the interim period |
| Long term | — | No further change envisaged | Transition to Blended VWAP to be considered after at least one year; not automatic |
Both options apply to index and single-stock derivatives. The paper states that the CTS-only method is not the intended long-term framework.
Indicative Index Value
The index itself is not auctioned; its indicative value during CAS is derived from the changing IEPs of its constituents. SEBI proposes that this IEP-derived Indicative Index Value should not be disseminated during CAS, as it is being misinterpreted, while security-level IEPs continue to be shown.
Market timings: two options
| Item | At present | Option A | Option B |
|---|---|---|---|
| End of CTS for CAS stocks | 3:15 p.m. | 3:30 p.m. | Up to 3:15 p.m. |
| Transition from CTS to CAS | 3:15 to 3:20 p.m. | 3:30 to 3:31 p.m. | 3:15 to 3:16 p.m. |
| CAS window (with transition) | 3:15 to 3:30 p.m. | 3:30 to 3:40 p.m. | 3:15 to 3:25 p.m. |
| Derivatives trading after CAS | 10 minutes | 5 minutes | 5 minutes |
| End of trading in F&O segment | 3:40 p.m. | 3:45 p.m. | 3:30 p.m. |
Under both options the transition period would come down from five minutes to up to one minute, and the Reference Price would still be the VWAP of the last 15 minutes of CTS.
Orders in the auction
- The ±3% price band in CAS would stay. An order placed at, or modified to, a price beyond ±1% and up to ±3% of the Reference Price could not be cancelled during CAS; only price-improving modifications would be allowed. Orders within ±1% could still be cancelled.
- The unexecuted quantity of an iceberg order at the start of CAS would be converted into a normal limit order, with the entire pending quantity disclosed in the CAS order book.
What to note
Nothing changes until SEBI issues a decision. Until then, expiry-day settlement continues on the CAS-based method in force since 3 August 2026.
Questions and answers
Has SEBI changed the expiry-day settlement price method?
No. The consultation paper of 12 September 2026 only proposes two options and asks for public views. At present, since 3 August 2026, the settlement price is based on closing prices determined through the Closing Auction Session.
What is the Blended VWAP option?
The settlement price on expiry day would be based on trades executed during the last 30 minutes of continuous trading and the 10 minutes of the Closing Auction Session. The contribution of each would follow actual traded value; no predetermined weight would be assigned.
What is the CTS VWAP option?
The settlement price would be based only on trades in the last 30 minutes of continuous trading — the method used before CAS — for an interim period. A move to the blended method would be considered after not less than one year, and would not be automatic.
Will trading hours change?
Two options are proposed. Option A: continuous trading for all stocks till 3:30 p.m., CAS from 3:31 to 3:40 p.m. and derivatives till 3:45 p.m. Option B: continuous trading for CAS stocks till 3:15 p.m., CAS till 3:25 p.m. and derivatives till 3:30 p.m.
Can comments still be sent?
The paper asked for comments latest by 3 October 2026. That date has passed.
Published 12 September 2026. Updated 6 October 2026. This report is for general information and is not professional advice. Read the source document before acting on it.