The Securities and Change Board of India (Sebi) is ready to challenge a session paper in per week proposing adjustments to the methodology used for figuring out settlement costs of by-product contracts, following suggestions on the not too long ago rolled-out closing public sale session (CAS) mechanism.
Individually, exchanges additionally modified sure norms in CAS, whereby the quantity weighted common worth (VWAP) of trades executed between 3-3:15 pm may very well be used to find out the reference worth of inventory and index futures.
The transfer comes after main uproar from merchants and different market gamers who cited sharp worth spikes and distortions throughout the 20-minute CAS window, applied from August 3.
In addition they referred to as out the distinction between the closing worth achieved by way of CAS and the buying and selling costs prevailing throughout regular buying and selling hours. The stated distortions have been greater on expiry days.
Beneath the brand new mechanism, the closing worth arrived at by way of CAS additionally kinds the idea for settlement costs of by-product contracts on expiry.
Sharp divergences have been famous between the BSE Sensex and the NSE Nifty on a number of events, since its implementation final month.
On Sensex expiry day final month, a divergence of 0.31 share factors was seen between the 2 indices with the Nifty closing at 24,396, down 40 factors or 0.16 per cent, whereas the Sensex closed at 78,080, up 114 factors or 0.15 per cent.
“Having thought of the expertise of the preliminary interval of CAS implementation and the suggestions obtained from numerous stakeholders, Sebi could also be proposing sure adjustments within the methodology for dedication of settlement costs of by-product contracts for which a session paper will likely be issued in a few week,” the regulator stated in a press launch on Thursday.
Sebi has met a number of market contributors, inventory brokers, overseas portfolio buyers, mutual funds, and different stakeholders for suggestions on the mechanism following the affect available on the market throughout the first month of its operation.
“Among the many points raised, a major space of suggestions pertains to the dedication of settlement costs of by-product contracts on expiry primarily based on the closing worth decided by way of CAS,” it added.
Individually, in a round issued on Thursday, exchanges stated the reference worth of inventory and index futures will likely be decided on VWAP of the trades executed within the class throughout 3:00-3:15 pm. The CAS window begins from 3:15 pm.
“In case no commerce is executed within the inventory and index future throughout the interval 3:00 pm to three:15 pm, the final traded worth of the inventory and index future, respectively, throughout the day shall be taken because the reference worth,” the round added.
Final month, the regulator additionally took motion in opposition to two entities for allegedly manipulative buying and selling throughout the CAS window. Aside from penalising them, the 2 entities have been additionally barred from the securities market.
Sebi added that the CAS framework was launched following ‘in depth stakeholder consultations’ and detailed coverage deliberations—together with two rounds of public session between December 2025 and August 2025.
“The inputs obtained by way of these consultations have been rigorously examined and duly thought of in finalising the framework,” it famous.
CAS is aimed to convey transparency within the pricing and scale back monitoring error. Earlier, Sebi chairman Tuhin Kanta Pandey had highlighted that the mechanism helps in catching manipulators.
Following the implementation, market contributors had raised considerations on the low consciousness and system preparedness round CAS—leaving merchants confused within the preliminary weeks. Later, the market regulator pushed for wider participation with brokers starting to indicate indicative equilibrium costs on their techniques.
Following the implementation, the buying and selling volumes have come down sharply—with the by-product turnover falling to a 14-month low in August. Additional, August additionally recorded the sharpest fall of twenty-two per cent in F&O turnover—highest since December 2024.
A number of gamers had hinted at a serious dent within the revenues of inventory brokers on the again of falling volumes and with buyers turning cautious within the CAS window.
In January, Sebi had stated that in main jurisdictions, closing worth of shares is decided primarily based on CAS which supplies a good and clear closing worth and improves the effectivity of execution for big orders.
