India's markets regulator may propose changes to equity derivatives settlement pricing after feedback that the new closing-auction system triggered sharp price swings. The Securities and Exchange Board of India will publish a consultation paper within a week.

The review comes after the first month of the auction, introduced on Aug. 3 to set end-of-day prices for more than 200 stocks, which are also used to settle futures and options contracts. The review follows volatile sessions, including during Monday's MSCI Inc. index rebalancing and Thursday's derivatives expiry on BSE Ltd.

The swings have raised concerns about misuse, drawing criticism from traders and proprietary trading firms. The effects have been pronounced on BSE, the smaller of India's two main exchanges. The BSE Sensex saw a "flash crash-like" move during a closing auction late last month. The 75,000-strike Sensex put option expiring Aug. 27 soared as much as 4,800% during the closing auction before surrendering all gains by market close.

BSE is collecting feedback from market participants and will submit it to SEBI, Chief Executive Officer Sundararaman Ramamurthy said. Premium turnover on the National Stock Exchange of India Ltd. declined to about 670 billion rupees ($7.1 billion) on Aug. 25, the lowest for a monthly derivatives expiry since December.