SEBI restores pre-CAS expiry settlement formula
SEBI will restore the pre-CAS VWAP method for expiry-day derivative settlements from 7 Dec 2026 and shift the closing auction to 3:30–3:45 pm. OI Charts data showed the banking and broader benchmark indices up 0.9% and 1.7% on 15 Oct 2026.
pre-market1 source ↓machine-written, see hownot a recommendation
- BANKNIFTY close
- ₹55,811
- On the day
- +0.89%
- 52-week high
- ₹56,671
- 52-week low
- ₹53,786
SEBI decided to restore the earlier method for calculating settlement prices in index and stock derivatives on expiry days, addressing concerns that the closing auction session had amplified sharp price swings. The revised framework will take effect on 7 Dec 2026 and will use the volume-weighted average price of constituent securities, or the underlying stock, during the final 30 minutes of continuous cash-market trading. ⚖️
The regulator also moved the 15-minute closing auction session to 3:30–3:45 pm from the existing 3:15–3:30 pm window and changed the order placement and matching process. The settlement-price change returns the market to the pre-CAS methodology, reducing the direct influence of closing-auction volatility on expiry-day derivative settlements. This matters for traders because the settlement reference will again be formed from the underlying cash market before the auction begins.
Expiry framework reset
• Settlement prices will use the final 30-minute cash-market VWAP on expiry days.
• The closing auction will run from 3:30 pm to 3:45 pm after the continuous session.
• The new framework starts on 7 Dec 2026, giving exchanges and participants time to update systems and operating procedures.
OI Charts data showed the benchmark market advancing on 15 Oct 2026. The banking index closed at ₹55,810, up 0.9%, after gaining 2.4% over five sessions. Its volume was 903,243,328, while the index traded within a 52-week range of ₹53,786 to ₹56,671. The broader benchmark index closed at ₹22,997, up 1.7%, with a five-session gain of 3.4% and volume of 370,768,998. Its 52-week range stood at ₹22,180 to ₹23,489. 📈
For the derivatives and brokerage ecosystem, the key near-term focus is implementation rather than an immediate change in index direction. Traders will need to assess how the revised timing affects expiry-day liquidity, order concentration and the relationship between cash-market prices and derivative settlements. Exchanges’ circulars, technical specifications and the first expiry session under the framework will show how the changes operate in practice. The two index levels and their recent ranges also provide the market context in which participants will evaluate expiry-day volatility after implementation.
Source: IndiaIPO, 15 Oct 2026
Not investment advice. For informational purposes only.