RBI Grade BNABARD ESISEBI
In one line
SEBI issued a consultation paper proposing changes to derivatives settlement methodology, market timings and operational aspects of the Closing Auction Session (CAS) — weeks after the new closing price mechanism took effect. Seven proposals, with comments invited by 3 October 2026.
Context
“RBI MPC Unpacked: Key Theory Meets Today’s Macro Trends”Tap to play · from the C4S channel
Key Proposals
- Expiry-Day Settlement Price
- Option 1: Use a blended VWAP from the last 30 minutes of continuous trading + 10-minute CAS.
- Option 2: Continue using CTS VWAP based only on the last 30 minutes before CAS.
- SEBI suggests retaining CTS VWAP for at least one year before considering a change.
- Stop Indicative Index Value (IIV)
- Security-level IEPs will continue, but the indicative index value during CAS may be discontinued.
- Reason: IIV is based on unexecuted indicative prices, not actual trades.
- Market Timings
- Option A: CAS from 3:31–3:40 pm, derivatives until 3:45 pm.
- Option B: CAS stocks trade until 3:15 pm, CAS from 3:15–3:25 pm, derivatives end at 3:30 pm.
- Shorter Transition
- Gap between continuous trading and CAS may be reduced from 5 minutes to about 1 minute.
- Shorter Derivatives Window
- Post-CAS derivatives trading may be reduced from 10 minutes to 5 minutes.
- Order Cancellation Restriction
- Orders within ±1% of the reference price can be cancelled.
- Orders beyond 1% and up to 3% cannot be cancelled, but can be modified to improve their price.
- Iceberg Orders
- Unexecuted iceberg orders can move into CAS.
- Their remaining quantity will become a normal limit order and the full quantity will be visible in the CAS order book.
Key Terms
- CAS: Closing Auction Session used to discover the closing price through an auction.
- IEP: Indicative Equilibrium Price; the price at which maximum executable quantity can potentially be matched during an auction.
- VWAP: Volume Weighted Average Price, where prices are weighted according to trading volume.
- CTS VWAP: Closing Trading Session VWAP based on trades during the specified pre-CAS period.
- IIV: Indicative Index Value calculated during CAS using indicative prices of index constituents.
- Iceberg Order: An order where only part of the total quantity is normally visible to the market.
- Price Discovery: The process through which buying and selling interests determine a market price.
