Regulator says CAS closing-price mechanism stays, but settlement pricing formula for derivatives may change following stakeholder feedback.
The Securities and Exchange Board of India (Sebi) said on September 3, 2026, that it will review the methodology used to determine settlement prices of equity derivative contracts on expiry, a month after rolling out the Closing Auction Session (CAS) in the cash market. In a press release dated September 3, 2026, titled "SEBI to review Settlement Price methodology for Derivative Contracts in the light of CAS rollout," the regulator said a consultation paper on the proposed changes will be issued within about a week.
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What Prompted The Review
CAS was rolled out in phases starting August 3, 2026, initially covering roughly 210 cash-market stocks with derivative contracts, replacing the earlier method of using the volume-weighted average price of the last 30 minutes of trade as the closing price. Under CAS, exchanges run a 20-minute auction window from 3:15 pm to 3:35 pm to discover a single equilibrium closing price, which is now also used to determine settlement prices for stock and index derivatives on expiry. Sebi said, "having considered the experience of the initial period of CAS implementation and the feedback received from various stakeholders, Sebi may be proposing certain changes in the methodology for determination of settlement prices of derivative contracts." The Hindu reported that Sebi acted after evaluating the initial implementation phase of CAS and considering feedback from numerous stakeholders regarding expiry-day settlement outcomes.
CAS Framework To Continue, Regulator Says
Sebi has clarified that CAS itself will not be scrapped. Sebi Chairperson Tuhin Kanta Pandey said on August 18, 2026, that "CAS is here to stay for sure, we will only see if there are certain constraints or issues that we can improve." Earlier, on August 12, 2026, Pandey said Sebi had not found clear evidence of manipulation under CAS but that the framework could be tweaked if required. The exact proposed changes to the settlement price methodology have not yet been detailed and are expected to be outlined in the upcoming consultation paper. Following the consultation period, Sebi may issue revised regulations or circulars, after which stock exchanges and clearing corporations would need to adjust their standard operating procedures accordingly.
