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SEBI backs VWAP for expiry settlement

SEBI's Secondary Market Advisory Committee (SMAC) has recommended retaining the existing 30-minute VWAP method for calculating expiry settlement prices of index and stock derivatives, and to put the proposed inclusion of CAS on hold.

The recommendation comes after feedback from market participants following the introduction of the Closing Auction Session for F&O stocks. Concerns were raised over the potential impact of auction-based prices on derivatives settlement.

The committee has also backed changes to the market schedule. Continuous trading in CAS stocks will continue until 3:30 pm, followed by the closing auction from 3:31 pm to 3:40 pm. Derivatives trading will remain open until 3:45 pm, allowing participants additional time after the auction.

SMAC has also recommended continuing the display of the Indicative Equilibrium Price (IEP) during the closing auction. SEBI is still reviewing feedback on whether indicative index values derived from IEPs should also be displayed.