{
  "id": 9134582,
  "title": "SEBI intends to address concerns over settlement price for derivatives on expiry days: Pandey",
  "url": "https://urgent.news/2026/09/22/sebi-intends-to-address-concerns-over-settlement-price-for",
  "topic": "finance",
  "section": "Finance & Markets",
  "published": "2026-09-22T11:21:14.000Z",
  "source": {
    "name": "Hindu BusinessLine",
    "slug": "hindu-businessline",
    "url": "https://www.thehindubusinessline.com/markets/sebi-intends-to-address-concerns-over-settlement-price-for-derivatives-on-expiry-days-pandey/article71495233.ece"
  },
  "original_language": "en",
  "account": "SEBI chairman Tuhin Kanta Pandey announced on Tuesday that the capital markets regulator aims to resolve concerns surrounding settlement prices for derivatives on expiry days and related matters. To tackle market participants' worries, SEBI released a consultation paper earlier this month, soliciting feedback on potential revisions to the framework for calculating expiry-day settlement prices of index and single-stock derivatives. These proposed changes encompass disconnecting derivatives settlement prices from cash-market closing prices, ceasing live indicative index values during the Closing Auction Session (CAS), and enforcing more stringent adherence to orders placed outside the one percent band. Pandey noted that after successfully implementing the Closing Auction Session as a vital market structure reform, SEBI intends to address concerns pertaining to derivatives settlement prices on expiry days and other related issues. The regulator presented two options for determining settlement prices: the Blended VWAP, which would rely on trades executed during the last 30 minutes of the Continuous Trading Session (CTS) and the 10-minute CAS, with the contribution of each period scaled based on actual traded value; and the existing CTS Volume Weighted Average Price (VWAP) methodology, which would only consider trades executed during the last 30 minutes of the CTS. The CTS VWAP could serve as an interim methodology to ensure continuity, allowing market participants ample time to adapt to the CAS. SEBI plans to transition to the blended VWAP after at least one year, contingent upon adequate liquidity and participation in the CAS and an evaluation of its performance across diverse market conditions. The consultation paper, released on September 12, followed feedback from market participants on the use of the CAS-determined closing price to settle derivative contracts on expiry, which emerged as a significant area of concern.",
  "summary": "To address market participants' concerns, SEBI floated a consultation paper earlier this month seeking public comments on the proposed changes to the methodology for determining expiry-day settlement prices of index and single-stock derivatives.",
  "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."
}