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Sebi weighs VWAP-based settlement for Nifty and Sensex weekly expiry options under CAS review

AI Market Summary
SEBI signaled a near-term review of India's derivatives settlement after feedback that the closing auction system (CAS) can distort cash prices and widen spot-derivative divergences on expiry days. A consultation paper may propose reverting weekly Nifty/Sensex option settlement to 15–30 minute VWAP and using a VWAP+CAS hybrid for monthly stock F&O. The change could reduce expiry-day dislocations and improve hedging and index tracking.
Impact level
● Medium
Affected assets
NCSINIFTY52USD/USDT-0.46%
AI Insight · NCSINIFTY52USD/USDTAI Insight
● Neutral
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India’s markets regulator is preparing a consultation paper on settlement for weekly-expiry options on the Nifty and Sensex, and may reinstate a volume-weighted average price (VWAP) method. It is also considering settling monthly-expiry stock futures and options using either the prior VWAP approach or a blend of VWAP and closing auction system (CAS) prices. Before CAS was introduced on Aug. 3, both stock and index derivatives were settled using the last 30 minutes’ VWAP.
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