Sebi likely to adopt blended pricing framework to curb expiry-day volatility in derivatives

What happened: Sebi is likely to adopt a blended pricing framework for derivatives settlement prices, combining VWAP from the last 30 minutes of continuous trading with prices from the 10-minute closing auction session (CAS). Key numbers: CAS volumes on NSE around ₹1,000-1,200 crore, roughly a fifth of the final 15 minutes of the earlier continuous session. CAS introduced 3 August. Why it matters: The move aims to curb expiry-day volatility and price distortions tied to thin CAS liquidity. Sebi is also likely to restrict cancellation of limit orders priced beyond ±1% of the reference price.

Sebi's blended pricing framework targets expiry-day derivatives volatility.

Sebi's blended pricing framework targets expiry-day derivatives volatility. — impact context not separately stored; see What changed.