Current Context: On 12 September 2026, the Securities and Exchange Board of India proposed changes to the settlement-price mechanism for stock and index derivative contracts on expiry days. The review followed sharp price movements after the introduction of the Closing Auction Session (CAS) on 3 August 2026. SEBI invited public comments on the proposals until 3 October 2026.
Key Points:
- CAS meaning: Closing Auction Session, used to determine the closing prices of eligible shares through an auction.
- First option: Calculate the expiry settlement price by combining trades from the final 30 minutes of regular trading with prices discovered during the 10-minute CAS.
- Second option: Continue using the volume-weighted average price from the final 30 minutes of regular trading for at least one year.
- Cancellation restriction: Limit cancellation of orders placed outside a range of 1% above or below the reference price.
- Post-auction window: Reduce the derivatives-trading window following CAS from 10 minutes to five minutes.
- Index disclosure: Stop publishing estimated index-closing levels during the auction while continuing to display indicative prices for individual shares.
- Objective: Reduce expiry-day volatility, discourage price manipulation and improve settlement-price reliability.
- Expected implementation: The revised framework may be introduced in October or November 2026 after reviewing public feedback.
Question:
Q1. What does CAS stand for in SEBI’s proposed expiry-day settlement framework?a) Centralised Auction System
b) Cash Adjustment Settlement
c) Closing Auction Session
d) Common Asset Settlement
Answer: c) CAS stands for Closing Auction Session, an auction-based mechanism designed to improve closing-price discovery in the cash market.
