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Informist, Thursday, Sept. 3, 2026

 

--SEBI: Reviewing results of closing auction session for cash market

--SEBI: May issue paper proposing some changes in closing auction session

 

MUMBAI – The Securities and Exchange Board of India will issue a consultation paper in the next one week proposing certain changes in the methodology for determination of settlement prices for futures and options contracts, it said in a press release Thursday. The matter is linked to the closing auction session where the cash market closing price is calculated as the equilibrium price from orders punched in a 10-minute auction window starting 1520 IST.

 

This closing auction session-determined equilibrium price is the official closing price for the cash market. The settlement price for futures and options contracts of individual stocks are based on the official closing prices of those stocks. The indices' closing values, too, are calculated based on official closing prices of underlying stocks and the official index closing value serves as the settlement price for that index's F&O contracts.

 

A section of F&O traders have asked for a delinking of the F&O settlement price from the official closing price due to the blind spots created for their derivatives open positions from the lack of continuous trading in cash market stocks from 1515 IST to 1530 IST following the introduction of the closing auction session.

 

In the closing auction session, which applies only to stocks in the F&O trading list, the continuous trading session ends at 1515 IST. Earlier, in the last-30-minute volume weighted average price regime, which the closing auction session replaced, the continuous trading session ended at 1530 IST.

 

SEBI said it has closely monitored the functioning of the closing auction session and its impact on the market during the first month of its operation. The regulator said it received feedback and suggestions from various market participants and stakeholders through multiple channels, including social media and other media platforms. Among the issues raised, a significant area of feedback relates to the determination of settlement prices of derivative contracts on expiry based on the closing price determined through the closing auction session, it said.  End

 

Reported by Rajesh Gajra

Edited by Rajeev Pai

 

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