CAS sent Nifty soaring 300 points in a minute to breach 23,000 on expiry day

What happened: Nifty spiked 2% during the Closing Auction Session (CAS) on expiry day, breaching 23,000 before paring gains. Sebi may stop using closing auctions for derivatives settlement prices for at least a year. Key numbers: Nifty at 22,717.70 at 3:19:59 pm, spiked to 23,026 at 3:20:30 pm, closed at 22,776. Why it matters: Sebi may instead use the volume-weighted average price of the last 30 minutes for derivative pricing, a partial reversal of the CAS mechanism. Jefferies said CAS issues may be easing as options volumes recovered in September.

Nifty spiked 2% during the Closing Auction Session (CAS) on expiry day, breaching 23,000 before paring gains. Sebi may stop using closing auctions for derivatives settlement prices for at least a year.

Sebi may instead use the volume-weighted average price of the last 30 minutes for derivative pricing, a partial reversal of the CAS mechanism. Jefferies said CAS issues may be easing as options volumes recovered in September.