MUMBAI, October 5 — The Securities and Exchange Board of India (SEBI) has concluded its comprehensive industry consultation review and moved to finalize structural modifications governing the Closing Auction Session (CAS) and expiry-day contract settlement methodologies for equity index and single-stock derivatives.
Following stakeholder submissions evaluating August's market transition, the capital markets regulator is implementing a refined Blended Volume-Weighted Average Price (VWAP) settlement framework, pooling transactions executed during the concluding 30 minutes of the Continuous Trading Session (CTS) and the 10-minute Closing Auction Session. The calibrated formula mitigates sharp order-book imbalances and prevents abrupt settlement-price dislocations historically engineered around weekly derivative expiries. Concurrently, the National Stock Exchange (NSE) operationalized revised quantity freeze thresholds across key index futures contracts effective October 5.
Market regulators emphasized that these measures complement macro-prudential safeguards enacted to protect retail investor capital, reduce unhedged speculative retail turnover in equity derivatives, and strengthen risk management across clearing corporations.
Capital market regulatory frameworks, statutory oversight by SEBI, and financial market infrastructure (FMI) are fundamental components of RBI Grade B, SEBI Grade A, and UPSC GS Paper III (Indian Economy). Candidates should remember that SEBI was established in 1988 and conferred full statutory authority via the Securities and Exchange Board of India Act, 1992, with an explicit statutory mandate to protect the interests of investors in securities and promote development of the securities market.