Sebi will review the way settlement prices are determined for derivative contracts after feedback from market participants over the impact of the Closing Auction Session on expiry-day settlement. The market regulator said on Thursday that it may propose changes in the methodology used to determine settlement prices of derivative contracts. A consultation paper on the proposed changes will be issued in about a week, Sebi said.
The move comes after the rollout of the Closing Auction Session, or CAS, in the equity cash segment from early August this year. Under the framework introduced through Sebi’s January 16 circular, the closing price discovered through CAS is also used as the basis for settlement prices of derivative contracts on expiry.
