India’s markets regulator may pause use of closing-auction prices for derivatives settlement and switch back to the volume-weighted average price (VWAP) of the final 30 minutes of trading, Reuters reported on October 5, 2026, citing two people with direct knowledge. The reported change is not confirmed as a final rule: SEBI’s official record establishes a review and consultation, but the sources available as of October 7 do not establish an operative circular or effective date.
What is SEBI changing about derivatives settlement prices?
SEBI is reviewing how settlement prices for derivative contracts are determined following the rollout of the Closing Auction Session (CAS). In its September 3, 2026 press release, the regulator announced a review of settlement-price methodology in light of CAS. On September 12, it published a consultation paper covering CAS, market timings and derivative settlement methodologies. Those official steps establish a review and public consultation—not a final reversal.
As an Amazon Associate I earn from qualifying purchases.
The specific change now being reported comes from Reuters, which on October 5 cited two unnamed sources with direct knowledge: SEBI was likely to stop using closing-auction prices to calculate derivatives settlement prices for at least a year and instead use the VWAP of the final 30 minutes of trading. Reuters reported that a SEBI spokesperson did not respond to its request for comment. The proposal’s details and expected duration therefore remain attributed reporting, not confirmed rule text.
How would the reported alternatives differ?
| Question | CAS-linked approach | Reported VWAP alternative |
|---|---|---|
| How is the price formed? | A closing-auction outcome | VWAP across the final 30 minutes of trading, as reported by Reuters |
| What does it apply to? | Derivative settlement prices under the approach being reviewed | Derivative settlement prices; Reuters says the change would last at least a year |
| What about less-liquid cash-market stocks? | Closing auctions help determine the end-of-day stock price | Reuters reports auctions would remain for end-of-day prices of less-liquid underlying shares |
| Is it in force? | SEBI announced a review and consultation; the available official sources do not establish a final rule | Likely approach reported by Reuters; final circular and effective date are not established |
CAS is an end-of-day auction mechanism that helps determine a stock’s closing price. It matters to derivatives because futures and options settlement prices are linked to underlying shares. A single auction outcome and a VWAP measured over a half-hour window are different ways of forming a reference price; the reported change concerns the derivative settlement calculation, not an end to closing auctions across the cash market.
#1 Best Overall
Would closing auctions still set prices for stocks?
According to Reuters, yes: closing auctions would continue to determine end-of-day cash-market prices for less-liquid stocks, even if the reported temporary shift in settlement methodology is adopted. That distinction is important. A possible change to the price used for derivatives settlement does not, on this account, mean that the cash-market closing process itself would be scrapped.
What did Reuters report about index indications and market hours?
Indicative index values during CAS
Reuters reported that SEBI’s September review proposal contemplated no longer publishing an indicative index value during the 10-minute CAS window, while continuing to show indicative prices for individual stocks. The report said feedback raised a transparency concern: sophisticated trading desks could reconstruct the index, while withholding it might not resolve manipulation concerns. Reuters, citing an unnamed source, reported that the regulator agreed and would increase awareness that the index price is determined only at the end of the window. This is not established as a confirmed SEBI decision in the available official material.
Trading timetable
Reuters reported that feedback favored keeping regular trading through 3:30 p.m. and derivatives trading through 3:45 p.m., and that the timetable was expected to remain broadly intact. Treat that as reported feedback and expectation, not a verified final decision on market hours.
How much feedback did the consultation receive?
Reuters reported that SEBI had posted on X that it received 20,000 suggestions in response to the consultation paper. That figure is Reuters’ account of SEBI’s post; it has not been independently verified here, and it should not be read as a confirmed count of formal comments.
Rank #3
Has SEBI officially reversed the derivatives settlement rule?
Not on the official record established by the sources available as of October 7, 2026. SEBI’s September 3 announcement and September 12 consultation paper document a review process. Reuters’ October 5 account describes a likely outcome based on unnamed sources, but does not itself make that outcome an operative SEBI rule. No final circular, confirmed effective date, or final settlement formula is established here.
Before relying on the change for a trading or settlement decision, check for a subsequent SEBI circular and the relevant exchange implementation notices. Those documents would establish the formula, covered contracts, any low-liquidity exception, treatment of indicative index values, market hours and start date.
Quick Recap
Sources
- SEBI, September 3, 2026: Review of settlement-price methodology for derivative contracts in light of CAS rollout
- SEBI, September 12, 2026: Consultation paper on CAS, market timings and derivative settlement methodologies
- Reuters via MarketScreener, October 5, 2026: Report on the likely partial reversal and consultation feedback
- SEBI Reports & Statistics listing
Product prices and availability are accurate as of the date/time indicated and are subject to change. Any price and availability information displayed on Amazon at the time of purchase will apply.
Do these 3 things before closing this tab:
1Scan for outdated or missing drivers - takes under a minute2Clear out junk files and repair common Windows errors3Fix the driver behind crashes, sound loss and screen glitches
