{
  "id": 14862845,
  "title": "Sebi tweaks CAS framework, restores 30-minute VWAP for expiry settlements",
  "url": "https://urgent.news/2026/10/16/sebi-tweaks-cas-framework-restores-30-minute-vwap-for-expiry",
  "topic": "business",
  "section": "Business",
  "published": "2026-10-16T02:52:03.000Z",
  "source": {
    "name": "The Economic Times - Top News",
    "slug": "the-economic-times-top-news",
    "url": "https://economictimes.indiatimes.com/markets/stocks/news/following-chaos-sebi-goes-back-to-vwap-settlement/articleshow/134980701.cms"
  },
  "original_language": "en",
  "account": "The Securities and Exchange Board of India (Sebi) has revised the contentious closing auction session (CAS) framework, reinstating the 30-minute volume-weighted average price (VWAP) method for calculating stock and index derivatives settlement prices on expiry days. In a recent circular, Sebi announced the return to the earlier method of using VWAP during the final 30 minutes of normal trading to determine derivatives settlement prices. Additionally, Sebi adjusted the CAS timings and rules regarding pending orders.\n\nUnder the new framework, index derivatives nearing expiry will be settled using the index value computed from the VWAPs of stocks forming part of the index during the last 30 minutes of normal trading. For stock derivatives, the settlement price will be based on the individual stock's VWAP.\n\nThis change deviates from the CAS rules introduced in August, which utilized closing prices determined through the auction to settle expiring stock and index derivatives. Initially, buy and sell orders were collected but not executed immediately during the CAS session. The shift to the auction system aimed to improve closing-price discovery and minimize the impact of orders placed near the session's end.\n\nHowever, the new system faced criticism from some market participants due to low auction participation and uncertainty over indicative Nifty and Sensex values, leading to sharp losses for derivatives traders on expiry days. Sebi addressed these concerns by preserving CAS for cash market price discovery while calculating derivatives settlement prices using the VWAP method.\n\nSebi's decision to retain the 30-minute VWAP methodology for derivatives settlement while maintaining CAS for cash market price discovery is seen as a pragmatic solution. Following market protests, Sebi sought public feedback on the auction session's functioning, market timing, and the methodology for computing derivatives settlement prices.",
  "summary": "The Securities and Exchange Board of India has implemented an updated framework for closing auction sessions and derivatives settlement. Under the new guidelines, volume-weighted average prices will be used during the last half-hour of normal trading. Trading for stocks will now last until 3:30 pm, while closing auction sessions will continue until 3:40 pm.",
  "key_points": [],
  "editors_take": null,
  "illustration": null,
  "coverage": {
    "outlets": 2,
    "also_reported_by": [
      {
        "outlet": "The Economic Times",
        "title": "Sebi revises CAS, fine print on derivatives expiry",
        "url": "https://urgent.news/2026/10/15/sebi-revises-cas-fine-print-on-derivatives-expiry",
        "published": "2026-10-15T16:15:29.000Z"
      }
    ]
  },
  "ai_generated": true,
  "disclaimer": "Summaries, key points and the editor’s take are written by software from other outlets’ reporting and may contain errors — always check the linked original."
}