Sebi for changes to CAS timing, derivatives settlement prices
Market regulator Sebi has proposed adjustments to the Closing Auction Session (CAS) timings and derivatives pricing mechanisms in India. These changes aim to address market volatility concerns raised by traders following the initial launch of the session in August.
Why it matters
Regulatory adjustments in financial markets directly impact trading strategies, liquidity, and price stability for investors and institutional participants.
MUMBAI: Markets regulator Sebi on Saturday proposed to make some changes to the recently introduced Closing Auction Session's (CAS) timings and to the derivatives pricing mechanism. Launched on Aug 3, CAS had created controversy in the market with traders and investors pointing out that it increased volatility in stock prices and index values.Last week, Sebi had said that it was working on a consultation paper on CAS and derivatives pricing. The Sebi consultation paper acknowledged that there were some issues relating to pricing of derivatives contracts, especially on days those contracts were expiring.Among the proposals in Sebi's consultation paper are two choices for arriving at the settlement price for derivatives trades. For one, use a combination of price discovered during the last 30 minutes of regular trading (also called continuous trading session with volume weighted average price or CTS VWAP) and the price discovered during CAS.
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