India regulator plans changes to set expiry days' settlement prices for derivatives

India’s markets regulator, the Securities and Exchange Board of India (SEBI), has proposed changes to how settlement prices are set on expiry days for index and single-stock derivatives. In a bid to improve the closing auction session (CAS) framework, SEBI wants settlement prices to be determined using both the closing auction session and the volume-weighted average price (VWAP). It also proposes tightening the price band and reducing the derivatives segment’s post-closing auction window to five minutes from 10. The proposals were published as part of SEBI’s plan to refine the closing process for these contracts.