After reviewing the newly introduced closing auction session (CAS) framework, the Securities and Exchange Board of India (SEBI) on Saturday has proposed to change the settlement methodology for derivatives contracts and expiry-day prices of index, according to news agency PTI.

SEBI proposes two options

The market regulator, in a consultation paper has proposed two options for determining the settlement prices. One is a blended Volume Weighted Average Price (VWAP) based on trades executed during the last 30 minutes of the continuous trading session (CTS) and the 10-minute CAS, or continuation of the existing CTS VWAP methodology.