SEBI had earlier said that its initial experience with CAS and feedback received from various stakeholders and market participants highlighted the need to review a few aspects related to CAS and the settlement methodology for derivatives. It subsequently came out with a consultation paper on September 12 to seek public comments on certain operational aspects of the CAS framework.
CAS was introduced in the equity cash segment for stocks on which futures and options (F&O) contracts were available, with effect from August 3, 2026. The objective was to facilitate efficient and transparent price discovery of the closing price of securities.
Under the second option of SEBI's September 12 consultation paper, the settlement price was to be calculated using the VWAP of trades executed between 3 pm and 3:30 pm during the continuous trading session (CTS). The committee has recommended retaining this method for at least a year before the regulator considers switching to a new methodology, the Moneycontrol report said.
The recommendation came after market participants raised concerns following the introduction of CAS for stocks in the futures and options (F&O) segment on August 3. The mechanism replaced the earlier closing-price process with an auction-based system, triggering concerns over price volatility and the impact of auction-derived prices on derivatives settlement.
SEBI's consultation paper had proposed two options: a blended VWAP incorporating trades executed during the final 30 minutes of continuous trading and the 10-minute auction, or retaining the CTS-only VWAP as an interim arrangement.
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