SEBI says it will review the methodology used to determine expiry settlement prices for derivatives contracts after the rollout of the Closing Auction Session (CAS). The regulator is examining how the CAS-based approach performs following the first month of implementation.
SEBI indicates that it will issue a consultation paper in about a week outlining the proposed changes to the settlement price calculation mechanism. The review is focused on the methodology itself, including how expiry settlement prices are derived under the CAS framework.
Business Line reports that SEBI will put out a consultation paper on a revised methodology within a week, while NDTV similarly says the regulator is preparing a consultation document after reviewing the initial month’s outcomes. Both accounts describe the same process—an assessment of the new mechanism, followed by public consultation—without detailing the specific methodological changes being considered.
