Policy● Neutral for Indian equities
SEBI may restore 30-minute VWAP for derivatives settlement after pushback
The brief
- SEBI is likely to use the final 30 minutes’ volume-weighted average price for at least a year
- The change follows sharp derivatives price swings on expiry days
- Changing expiry settlement rules may affect derivatives trading and volumes on Indian exchanges
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SEBI’s closing auction and settlement rules
SEBI received 20,000 comments on proposed Closing Auction Session changes, with many market participants favouring retention of the existing 30-minute CTS VWAP window. Reports say the regulator is considering changes after sharp derivatives price swings on expiry days.
Monday, 5 October
- SEBI may restore 30-minute VWAP for derivatives settlement after pushback