SEBI has proposed changes to the way settlement prices are determined for index and single-stock derivatives on expiry days. The plan would use a combination of the Closing Auction Session and volume-weighted average prices.
Expiry-day settlement matters because very large derivatives positions can create incentives for sharp price moves near the close. A more robust methodology can reduce the influence of short-lived volatility and improve confidence in the final settlement price.
SEBI has also proposed changes to the closing-auction process, including a tighter price band and a shorter post-auction window in the derivatives segment.
