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Sebi Introduces Last 30-Minute VWAP Method for Settlement
Sentiment: NeutralHigh Priority
What Happened?
The Securities and Exchange Board of India (Sebi) announced changes to the closing auction session (CAS) framework, effective December 7, 2026. The new settlement price for index derivatives will be based on the volume-weighted average price (VWAP) during the last 30 minutes of trading.
Key points
- The revised CAS framework will start on December 7, 2026.
- Settlement prices for index derivatives will use VWAP from the last 30 minutes of trading.
- CAS will operate as a separate 10-minute session from 3:30 pm to 3:40 pm.
- Unexecuted iceberg orders will be converted into fully disclosed limit orders.
- The changes follow over 20,000 suggestions from market participants.
Key insights
- The new VWAP method may lead to more accurate settlement prices.
- Market participants may benefit from improved order execution processes.
- The changes could address previous concerns about liquidity and price spikes.
Why it matters
These changes could enhance market efficiency and transparency during trading sessions.
Source
Business Standard
