Sebi reintroduces VWAP for derivatives expiry after CAS turns markets volatile

What happened: Sebi withdrew the closing auction framework (CAS) for derivatives settlement and reintroduced a 30-minute volume-weighted average price (VWAP) for expiry days, Tuesday and Thursday. Key numbers: CAS was introduced in August. Transition from continuous trading to CAS cut from five minutes to one minute. CAS runs 3:30pm to 3:40pm. Why it matters: CAS led to abrupt price swings on expiry day, making it hard for traders to participate in the F&O segment. Sebi reviewed the framework in September after pushback over a liquidity squeeze during the auction.

Sebi withdrew the closing auction framework (CAS) for derivatives settlement and reintroduced a 30-minute volume-weighted average price (VWAP) for expiry days, Tuesday and Thursday.

CAS led to abrupt price swings on expiry day, making it hard for traders to participate in the F&O segment. Sebi reviewed the framework in September after pushback over a liquidity squeeze during the auction.