Sebi's decision to review the settlement price methodology for derivative contracts after the rollout of the Closing Auction Session may ease the sharp expiry-day swings seen in recent sessions, but analysts say the regulator is unlikely to scrap CAS altogether. The market regulator said on Thursday that it may propose changes in the way settlement prices are determined for derivative contracts, after receiving feedback from market participants on the use of CAS-based closing prices for expiry settlement. A consultation paper is expected in about a week.
CAS was introduced in the equity cash segment from early August this year to determine the closing price of securities. Under Sebi’s framework, the price discovered through CAS also serves as the basis for settlement prices of derivative contracts on expiry.
