SEBI has not been shown to have formally reversed India’s derivatives settlement rules. Reuters reported on October 5, 2026, citing two unnamed sources, that the regulator was likely to stop using closing-auction prices to calculate derivatives settlement prices for at least a year and use the volume-weighted average price (VWAP) of the final 30 minutes instead. Official SEBI material confirms a review and consultation, but the sources available as of October 7 do not confirm a final circular or effective date.
What is SEBI changing about derivatives settlement prices?
The reported change concerns the price used to settle derivative contracts, not whether India’s stock market will have a closing auction. Under the approach Reuters described, derivatives settlement would temporarily move away from the closing-auction result and use the VWAP of the final 30 minutes of trading. Reuters said the pause would last at least a year; no official duration is established in the material available here.
SEBI’s official record establishes that it is reviewing settlement-price methodology in light of the Closing Auction Session (CAS) rollout. On September 3, 2026, it announced the review; on September 12, it published a consultation paper covering CAS, market timings and derivative settlement methodologies. Those documents establish a review and consultation, not the reported final change. SEBI’s September 3 announcement and September 12 consultation listing do not, on their own, confirm that the reported approach is in force.
How do CAS and the reported VWAP approach differ?
CAS is an end-of-day auction mechanism used to help determine a stock’s closing price. Because derivative settlement prices are linked to underlying stocks, the auction’s role in setting the closing price also matters to derivatives. The alternatives differ in how the relevant price is formed:
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| Feature | CAS-linked settlement approach | Reported temporary alternative |
|---|---|---|
| Price formation | Closing-auction price | VWAP over the final 30 minutes of trading, as reported by Reuters |
| Reported scope | Derivative settlement prices linked to underlying stocks | Reuters says the proposed pause would apply to derivative settlement; it says closing auctions would remain for end-of-day cash-market prices of less-liquid stocks |
| Duration | Not stated in the cited material | At least one year, according to Reuters’ unnamed sources; no official duration is confirmed |
VWAP is an average that weights prices by trading volume across the stated period. It is not simply the last traded price. The precise calculation rules and contract coverage would need to be set out in an official circular before traders could treat the reported method as operative.
Will closing auctions still determine stock closing prices?
Reuters reported that closing auctions would continue to determine end-of-day prices for less-liquid stocks in the cash market, even if auction prices were no longer used for derivatives settlement during the reported pause. That distinction matters: the reported change is a proposed separation between the cash-market closing-price mechanism for those shares and the price formula used to settle derivatives. Reuters did not establish that every stock or every derivative contract would receive identical treatment under a final rule.
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What else did Reuters report about the consultation?
Indicative index values during CAS
Reuters reported that SEBI’s consultation proposal contemplated not publishing an indicative index value during the 10-minute CAS window, while continuing to show indicative prices for individual stocks. The story said feedback raised concerns that sophisticated trading desks could reconstruct the index and that withholding it could reduce transparency without resolving manipulation concerns. Reuters, citing an unnamed source, reported that SEBI agreed with that feedback and was expected to increase awareness that the index price is determined only at the end of the window. This remains a reported account, not a confirmed SEBI decision.
Market timetable
Reuters said feedback favored retaining regular trading until 3:30 p.m. and derivatives trading until 3:45 p.m., and that the timetable was expected to remain broadly intact. Those times describe the schedule discussed in that report; the source material here does not confirm a final decision on market hours.
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Responses to the consultation
Reuters reported that SEBI had posted that it received 20,000 suggestions in response to the consultation. The figure is Reuters’ account of SEBI’s post on X; it is not independently verified here, and it should not be treated as a count of formal comments unless an official source confirms that characterization.
Independent reader supportYour contribution helps us test, update, and keep practical guides available for everyone.Has SEBI officially reversed the rule, and when would a change start?
As of October 7, 2026, the sources cited here establish SEBI’s review and consultation, while the specific temporary VWAP approach and related decisions come from Reuters’ October 5 report based on two unnamed sources. Reuters said a SEBI spokesperson did not respond to its request for comment. These sources do not establish a final circular, the exact contracts covered, any low-liquidity exception for derivative settlement, or an effective date. Check for a SEBI circular and relevant exchange notices before treating the reported formula or timetable as active. SEBI’s reports listing classifies the September 12 document as a consultation paper, which is distinct from an operative final circular.
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