SEBI proposes blended VWAP for India derivatives expiry settlement
India's regulator suggested shifting index and stock derivative settlement prices to a Blended VWAP method, combining Continuous Trading Session data with Closing Auction trades.
The Securities and Exchange Board of India announced plans to modify how trading contracts settle at the end of the day. On September 12, the regulator introduced two specific options for determining expiry-day prices for index and stock derivatives following its initial Closing Auction Session rollout on August 3, 2026.
Option 1 utilizes a Blended VWAP calculation. For index derivatives, the price reflects the actual traded value in both the Continuous Trading Session and the ten-minute Closing Auction. Stock derivatives use an exchange-blended price derived from these same two periods without separate weights assigned to either session.
The regulator also proposed changes to market timing and settlement methodology generally to improve auction functioning. SEBI invited public comments on seven total proposals by October 3, 2026.
Source data indicates the initial CAS introduction occurred on August 3, 2026, though it is currently September 12.
