India’s SEBI is set to restore the previous method for settling equity derivatives on expiry days, using the final 30 minutes of trading to calculate volume-weighted average prices (VWAP). This effectively delinks the new closing auction from futures and options settlement. A committee appointed by the regulator recommended the change, which SEBI accepted and will implement via an upcoming circular.
The move reverses the August introduction of the closing auction, aiming to limit the impact of sharp auction moves on expiring contracts. Continuous trading for affected stocks will now run until 3:30 p.m., with the 10-minute closing auction ending at 3:40 p.m. The revised framework is expected to remain in place for at least a year. NSE derivatives expire on Tuesdays; BSE on Thursdays.
The change follows market concerns over expiry-day settlement prices and cash-derivatives market interactions.
Source: Bloomberg Markets · Summarized by HeadlinesBriefing