Sebi Changes Derivatives Settlement Process
Sebi has revised its framework for the closing auction session, which was launched on August 3, to no longer determine the settlement price for expiring derivatives. The changes will take effect from December 7, 2026.
Initially, the closing auction session produced stock and index closes that doubled as the expiry settlement price. However, feedback on that arrangement led to the revision, and under the new design, a single auction print will no longer be used to determine the settlement price.
Instead, expiring stock derivatives will settle at the stock’s volume weighted average price (VWAP) across exchanges over the last 30 minutes of continuous trading. Index contracts will settle on index values computed from the 30-minute VWAPs of their constituents.
Read Also: Jio Platforms’ Anchor Book Gets Record Institutional Demand
Exchanges will have to publish indicative VWAPs and index values in real time through the window. The trading day will also be extended, with continuous cash trading running till 3:30 pm, and the closing auction session shrinking to 10 minutes, ending at 3:40 pm.
On expiry day, expiring index contracts will stop at 3:30 pm, but expiring stock derivatives will continue to trade till 3:45 pm. Stock futures bands between 3:30 pm and 3:45 pm will follow the CAS band, and dynamic flexing will be suspended during this stretch.
From February 8, 2027, eligible iceberg orders left over from continuous trading will enter the auction as fully disclosed limit orders unless traders opt out. The closing auction session will remain the mechanism for the official cash close, but it will no longer set the benchmark for derivatives expiry.
