India’s markets regulator is likely to partly reverse the way it sets closing prices for derivatives, according to two people with direct knowledge of the matter. The Securities and Exchange Board of India (SEBI) is expected to stop using the closing auction session (CAS) to calculate derivatives settlement prices for at least a year.

SEBI has not publicly confirmed the change. A SEBI spokesperson did not respond to a request for comment when the sources’ account was first reported.

What the sources said will change

The sources said SEBI will use the volume-weighted average price (VWAP) of the last 30 minutes of trading to determine derivatives settlement prices. The closing auction would still be used to set end-of-day prices for less liquid stocks in the cash market.

The sources added that SEBI is expected to put the changes in place by the end of this month.

They also said most of the feedback SEBI received argued that sophisticated trading desks could work out indicative values on their own. According to that feedback, removing those values would reduce transparency without solving concerns about price manipulation.

How the CAS rules got here

SEBI introduced the closing auction session on August 3, 2026. It was meant to set end-of-day prices for more than 200 stocks, and those prices are also used to settle futures and options contracts.

After the first month, SEBI said on September 3 that it would publish a consultation paper on settlement pricing. The regulator said it was reviewing the system after feedback that it had caused sharp price swings.

On September 10, SEBI Chairman Tuhin Kanta Pandey said the closing auction session would remain. SEBI was reviewing whether derivatives settlement prices should depend entirely on the auction closing price on expiry days.

Consultation closed on October 3

SEBI had invited public comments on changes to the closing auction, trading hours and the method for setting settlement prices. The consultation closed on October 3.

Pandey said on that day that SEBI had received more than 3,500 comments. He said the regulator would review them quickly, as its proposals were clear and specific. A circular is expected soon.

What it means for traders

If the reported change goes ahead, derivatives on expiry days would settle on a 30-minute average price instead of the auction price. The closing auction would not be scrapped. It would continue for the end-of-day prices of less liquid cash-market stocks.

No official circular has been found yet. Traders should wait for SEBI’s formal announcement for the final rules and the start date.

This is not financial advice and is subject to market risk. Please verify before making decisions.

I could not open SEBI’s consultation paper or any circular, so the partial reversal rests on unnamed sources. Please check sebi.gov.in before publishing.