{
  "id": 5364712,
  "title": "SEBI to review CAS-based settlement price mechanism for derivatives",
  "url": "https://urgent.news/2026/09/03/sebi-to-review-cas-based-settlement-price-mechanism-for-derivatives",
  "topic": "finance",
  "section": "Finance & Markets",
  "published": "2026-09-03T16:07:27.000Z",
  "source": {
    "name": "Hindu BusinessLine",
    "slug": "hindu-businessline",
    "url": "https://www.thehindubusinessline.com/markets/sebi-to-review-cas-based-settlement-price-mechanism-for-derivatives/article71425088.ece"
  },
  "original_language": "en",
  "account": "The Securities and Exchange Board of India (SEBI) plans to review the method used to calculate settlement prices for derivative contracts at the end of trading sessions, with a consultation paper on potential changes anticipated within a week. This decision comes after receiving input from market participants regarding the Closing Auction Session (CAS) mechanism, which was implemented to establish closing prices for securities in the equity cash segment. The CAS-determined closing prices are also utilized as the foundation for settlement prices of derivative contracts upon expiration.\n\nIn addition, stock exchanges announced that the reference price for stock and index futures will be calculated based on the volume weighted average price (VWAP) of trades executed in the respective category during the 3:00-3:15 pm window. On Thursday, the expiry of the Sensex experienced a notable spike in put options following an abrupt decline of over 2,000 points in just three minutes during the closing auction session, before ultimately settling 400 points lower.\n\nSEBI acknowledged the initial experiences with the CAS implementation and the feedback obtained from various stakeholders, suggesting that SEBI may propose adjustments to the methodology for determining settlement prices of derivative contracts. A consultation paper detailing these proposed changes will be released in approximately one week. Since the CAS became effective on August 3, 2026, SEBI has closely monitored its operation and impact on the market during the first month of implementation, gathering feedback through multiple channels such as social media and other platforms. This includes contributions from stock exchanges, brokers, proprietary traders, software vendors, mutual funds, industry associations, and foreign portfolio investors (FPIs).\n\nSEBI has also engaged with these stakeholders to ensure the smooth implementation and address any operational issues that arose during the initial adoption period. The CAS framework was developed following extensive stakeholder consultations and policy discussions, including two rounds of public consultation in December 2024 and August 2025, as well as deliberations in an advisory committee and with stock exchanges, broker associations, and institutional investors. The final framework incorporated inputs from these consultations, as reported by SEBI.",
  "summary": "Consultation paper on revised methodology will be issued in a week",
  "key_points": [],
  "editors_take": null,
  "illustration": null,
  "coverage": {
    "outlets": 1,
    "also_reported_by": []
  },
  "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."
}