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SEBI released a consultation paper on 12 September 2026 proposing changes to expiry-day settlement for derivatives, market timings and the Closing Auction Session (CAS).
Option 1 is a Blended VWAP settlement price using trades from the last 30 minutes of continuous trading plus the 10 minutes of CAS, weighted by actual traded value.
Option 2 keeps the existing CTS VWAP - only the last 30 minutes of continuous trading - as an interim arrangement before any shift to the blended method.
SEBI also proposed stopping the Indicative Index Value display during CAS while retaining Indicative Equilibrium Prices for individual securities; comments are open till 3 October 2026.
| Feature | Option 1: Blended VWAP | Option 2: CTS VWAP |
|---|---|---|
| Trades used | Last 30 min of CTS + 10 min of CAS | Last 30 min of CTS only |
| Weighting | By actual traded value in each window | Single window, no blending |
| Status | Proposed new method | Existing method, retained as an interim step |
VWAP is the average trade price weighted by volume, so large trades count more than small ones. Derivative contracts settle against the closing price, so the way that price is computed decides payouts on expiry day and how easily it can be influenced.
Simple Analogy: An average exam score weighted by marks, not by how many students sat each paper.
Statutory regulator of the securities market; issued the consultation paper
Exchange where most index and stock derivatives trade
Asia's oldest stock exchange, established 1875; also runs derivatives contracts
Gives SEBI statutory powers to regulate the securities market and issue such frameworks.
Governs contracts in securities, including exchange-traded derivatives and their settlement.
General Awareness > Financial regulators; capital markets
GS Paper III > Indian economy - capital market, regulatory bodies
A short auction at the end of the trading day in which buy and sell orders are matched at a single equilibrium price to set the closing price
Volume-Weighted Average Price - the average trade price weighted by traded quantity
The provisional auction-clearing price shown during an auction so participants can adjust orders