Summary: The Securities and Exchange Board of India (SEBI) has announced that it may review the methodology for determining settlement prices of derivative contracts following the implementation of the Closing Auction Session (CAS) in the equity cash segment. SEBI had introduced CAS through its circular dated January 16, 2026, with implementation from August 3, 2026, under which the closing price determined through CAS also serves as a basis for determining settlement prices for derivative contracts on expiry. The framework was finalised after extensive stakeholder consultations, including public consultations held on December 5, 2024 and August 22, 2025, discussions in SEBI’s advisory committee and engagement with Stock Exchanges, broker associations, institutional investors and other market participants. Since CAS became operational, SEBI has engaged with Stock Exchanges, brokers, proprietary traders, software vendors, mutual funds, industry associations and FPIs to address implementation and operational issues. SEBI has also monitored CAS during its first month and received feedback through multiple channels, including social and other media platforms. A significant issue raised by stakeholders concerns the determination of settlement prices of derivative contracts on expiry based on the closing price determined through CAS. After considering the initial experience and stakeholder feedback, SEBI stated that it may propose changes to the methodology for determining settlement prices of derivative contracts. A consultation paper on the proposed changes is expected to be issued in about a week.
Securities and Exchange Board of India
PR No.53/2026
SEBI to review Settlement Price methodology for Derivative Contracts in the light of CAS rollout
SEBI, vide circular dated January 16, 2026, had introduced the Closing Auction Session (CAS) in the Equity Cash Segment with effect from August 3, 2026, for determination of the closing price of securities. As stipulated in the said circular, the closing price determined through CAS also serves as a basis for determination of settlement prices for derivative contracts on expiry.
The framework for CAS was introduced following extensive stakeholder consultations and detailed policy deliberations. This included two rounds of public consultation undertaken on December 5, 2024 and August 22, 2025, as well as discussions in advisory committee and with various stakeholders, including Stock Exchanges, broker associations, institutional investors, market participants and other stakeholders. The inputs received through these consultations were carefully examined and duly considered in finalising the framework.
Since its implementation, SEBI has closely engaged with various stakeholders, including Stock Exchanges, brokers, proprietary traders, software vendors, mutual funds, industry associations and FPIs, with a view to facilitating smooth implementation and addressing operational and other issues arising during the initial period of adoption.
SEBI has also closely monitored the functioning of CAS and its impact on the market during the first month of its operation. During this period, SEBI has received feedback and suggestions from various market participants and stakeholders through multiple channels, including social media and other media platforms.
Among the issues raised, a significant area of feedback relates to the determination of settlement prices of derivative contracts on expiry based on the closing price determined through CAS.
Having considered the experience of the initial period of CAS implementation and the feedback received from various stakeholders, SEBI may be proposing certain changes in the methodology for determination of settlement prices of derivative contracts for which a consultation paper will be issued in about a week.
Mumbai
September 03, 2026
