SEBI CAS: Framework revised; auction window set, reference price calculation for eligible securities changed - Details

What happened: SEBI revised the Clearing and Settlement mechanism, changing the auction window and reference price calculation for eligible securities. It rolled back the closing auction session framework for derivatives settlement introduced in August. Key numbers: Closing price to be based on a 30-minute volume-weighted average price on derivatives expiry days, Tuesday and Thursday. Why it matters: The August framework led to sharp swings in benchmark indices on expiry days, and the rollback changes how derivatives settlement prices are determined.

SEBI revised the Clearing and Settlement mechanism, changing the auction window and reference price calculation for eligible securities. It rolled back the closing auction session framework for derivatives settlement introduced in August.

The August framework led to sharp swings in benchmark indices on expiry days, and the rollback changes how derivatives settlement prices are determined.