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SEBI Reviews Closing-Auction Derivatives Settlement After Market Feedback

SEBI is reviewing closing-auction settlement for derivatives after market feedback. Reuters reported a possible return to 30-minute VWAP for at least a year.

Published 12 October 2026TradeGrows Markets Desk

Main source dated 2026-10-05. Research checked through 12 October 2026 at 11:17 am IST. Market observations retain their own dates and units; this is not a live quote feed.

Evidence before inference. A company metric, supervisory opinion, benchmark price and market forecast are not interchangeable. Check the original documents and stated limitations.
Conceptual derivatives-market illustration with an exchange closing auction and risk controls
Original conceptual editorial illustration; not company premises, an official document or a market-data chart.

India’s securities regulator was reported to be considering a partial change to the closing-auction mechanism used for stocks with futures and options contracts. Reuters reported on October 5 that two sources said SEBI could stop using the closing auction to calculate derivatives settlement prices for at least a year and instead use the volume-weighted average price of the final 30 minutes of trading. Reuters said a closing auction could remain for end-of-day prices in less-liquid cash-market stocks.

The report followed the introduction of a closing auction session for eligible stocks and feedback that the new process had contributed to sharp swings in derivatives prices on expiry days. Reuters said SEBI had received 20,000 suggestions in response to a consultation paper and that the regulator was expected to implement changes by the end of October. It also reported that SEBI had not responded to its request for comment at the time of publication.

CNBC-TV18 separately reported on October 10 that SEBI would issue closing-auction-session guidelines in a week. Neither source establishes that a final amended rule had already been notified on October 12. Traders should therefore distinguish a reported regulatory review from an effective circular.

Key facts

  • Possible derivatives settlement basis reported: last 30-minute VWAP.
  • Possible duration of the change: at least one year, according to Reuters’ sources.
  • Feedback received by SEBI: 20,000 suggestions, as reported by Reuters.
  • Possible timing reported: by the end of October 2026.
  • Status as of 12 October 2026: reported review, not confirmed final rule.

Why it matters

Settlement methodology affects the reference price used for derivatives expiry and can change the way traders manage closing-period exposure. Any final circular would need to be read for its effective date, eligible securities, contract treatment and transition provisions. Until then, treating the reported change as active could create an operational error.

To distinguish a proposal from an effective rule, use our guide to verifying stock-market claims in India. The trading guides explain broader market mechanics and trading risks.

Sources

Reuters’ October 5 settlement-rule review report (opens in a new tab); CNBC-TV18’s October 10 regulatory update (opens in a new tab).

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