SEBI to partly reverse derivative settlement rules after pushback, sources say
SEBI told it had received 20,000 suggestions to tweak the rules in response to a consultation paper issued last month
India’s markets regulator, SEBI, may revert to using closing auctions to calculate derivatives settlement prices for at least a year, according to two sources familiar with the matter. This move represents a partial reversal of the new mechanism introduced by the Securities and Exchange Board of India in August. The new system, known as the closing auction session (CAS), utilized a short auction at the end of the trading day to determine the closing price of a stock.
However, this approach led to significant fluctuations in derivatives prices on expiry days, prompting SEBI to review the mechanism. In response to a consultation paper, SEBI received over 20,000 suggestions to modify the rules. It is now planning to use the volume-weighted average price of the last 30 minutes of trading to determine derivative pricing.
For underlying stocks in the less liquid cash market, the closing auction will still be used to calculate the end-of-day price. SEBI is expected to implement these changes by the end of the month.
Written by urgent.news from The Hindu's reporting — not their text. Machine-written — may contain errors; check the original before relying on it.
This story
This is one outlet's version. Read the fullest account.
- SEBI to partly reverse derivative settlement rules after pushback, sources say thehindubusinessline.com
- Sebi may partly reverse derivative settlement rules after pushback business-standard.com
