SEBI Proposes New CAS Framework for Expiry-Day Settlement

The Securities and Exchange Board of India (SEBI) issued a consultation paper on 12 September 2026 on changes to the Closing Auction Session (CAS) framework and derivatives settlement methodology. The proposal covers expiry-day settlement for futures and options (F&O) stocks, market timings, and price-discovery mechanisms in the Indian securities market.

Closing Auction Session

The Closing Auction Session is a market mechanism used to determine closing prices through auction-based order matching. SEBI introduced the CAS for F&O stocks on 3 August 2026. The framework was designed for price discovery near market close in securities trading.

Expiry-Day Settlement Methodology

SEBI has proposed a Blended VWAP method for expiry-day settlement. VWAP stands for Volume-Weighted Average Price, and the proposed method uses trades from the last 30 minutes of the Continuous Trading Session and 10 minutes of CAS. An alternative proposal retains the existing CTS VWAP method, which uses only trades from the final 30 minutes of continuous trading before any shift to the blended method after at least one year.

Market Timings and Price Data

The consultation paper includes two options for the duration of the Continuous Trading Session, CAS, and derivatives trading sessions. It also proposes a shorter transition period between CTS and CAS. SEBI has suggested stopping the display of the Indicative Index Value during CAS while continuing Indicative Equilibrium Prices for individual securities.

Important Facts for Exams

• The Securities and Exchange Board of India is the statutory regulator for the securities market in India.
• Futures and options are derivative contracts traded on exchanges such as the National Stock Exchange and the Bombay Stock Exchange.
• Volume-Weighted Average Price is a trading benchmark that gives more weight to trades with higher volume.
• Public comments on the proposed changes are open until 3 October 2026.

Regulatory Context

SEBI Chairman Tuhin Kanta Pandey stated on 10 September 2026 that CAS will continue and will not be rolled back. The regulator has kept temporary solutions under consideration for liquidity concerns in expiry-day trading.