Mumbai, Sep 12 (IANS) The Securities and Exchange Board of India (SEBI) is likely to issue a consultation paper on the Closing Auction Session (CAS) on Saturday, with the regulator expected to propose changes to the methodology used to determine settlement prices for derivative contracts, according to a report.

The report from NDTV Profit said the proposal is likely to be discussed at the SEBI board meeting, scheduled for September 24, and will address concerns raised by market participants about how derivative settlement prices are calculated on expiry days under the newly introduced CAS mechanism.

SEBI is not planning to roll back the CAS itself but aims to refine the calculation of settlement prices under the auction mechanism on expiry days.

SEBI Chairman Tuhin Kanta Pandey earlier clarified that “CAS is here to stay,” and that the market regulator was examining concerns raised by market participants to solve them.

CAS, which came into effect on August 3, ends continuous trading in futures-and-options eligible stocks at 3:15 pm, moving those securities into a roughly 20‑minute auction where buy and sell orders are matched to determine the official closing price.

Non‑F&O stocks continue trading until 3:30 pm, while stock and index derivatives trade until 3:40 pm. Indian equities have seen sharp moves during the newly launched closing auction session, particularly on derivatives expiry days.

Indicative close for Sensex briefly dropped 2.5 per cent, during last week’s session, causing it put options’ premiums to surge 400 to 500 per cent during closing auction. Similarly, Tuesday also saw Nifty put options surging multi-fold on expiry day trading.

Analysts said that CAS has made expiry‑day execution less predictable for systematic options strategies, adding that limited participation in the auction could allow a handful of orders to significantly change closing prices.

—IANS

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