Sebi To Review Settlement Price Methodology for Derivative Contracts After CAS Rollout

New Delhi: A month after rolling out the Closing Auction Session, the market regulator Sebi plans to review the derivative settlement methodology at expiry amid concerns over using the CAS-determined closing price as the settlement basis.

In a statement on Thursday, Sebi said it may propose changes to the existing methodology, with a consultation paper on the proposed framework likely to be released in about a week.

“Among the issues raised, a significant area of feedback relates to the determination of settlement prices of derivative contracts on expiry based on the closing price determined through CAS,” the regulator said in a statement.

The development comes shortly after Sebi introduced CAS in the equity cash segment from August 3 to determine the closing price of securities.

Under the current framework, the closing price arrived at through CAS also serves as the basis for determining settlement prices of derivative contracts on expiry.

Having reviewed the first month of CAS operations and considered feedback from market participants, Sebi said it “may propose changes to the methodology for determining settlement prices of derivative contracts”.

The proposed changes will be detailed in the consultation paper, which is expected to be issued “in about a week”, Sebi said.

Since its implementation, the regulator has been closely engaging with stock exchanges, brokers, proprietary traders, software vendors, mutual funds, industry associations and FPIs to ensure smooth implementation of CAS and address operational issues emerging during its initial adoption, it added.

Sebi also said it has monitored the functioning of CAS and its impact on the market during the first month of implementation.

Feedback was received from market participants and other stakeholders through multiple channels, including social media and other platforms, the regulator said.

CAS was introduced after extensive stakeholder consultations and policy deliberations, including two rounds of public consultation held in December 2024 and August 2025, as well as discussions with advisory committees and various stakeholders.

Last month, Sebi issued an interim order impounding a total of Rs 3.68 crore in alleged wrongful gains from two entities accused of price manipulation during the CAS on the BSE Sensex weekly options expiry day on August 13.

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