May tweak F&O settlement price mechanism: Sebi chief

MUMBAI: Sebi chairman Tuhin Kanta Pandey on Thursday said that the newly introduced Closing Auction Session (CAS) will stay but the regulator is studying if the mechanism to arrive at derivatives settlement prices could be changed. Pandey also said that MSCI, one of the largest index service providers in the world, has acknowledged that even though the overlapping of CAS and the index's rebalancing window coincided on Aug 31, the process had ended without any glitch.CAS, a new system of determining the end-of-the-day price for stocks, was introduced on Aug 3 but faced severe criticism for bringing in extreme volatility in the market, including substantial closing price differential on the two exchanges, BSE and NSE.In Thursday's session, as sensex's weekly derivatives contracts were to expire, the index witnessed swings of over 1,000 points.