Capital market stocks gain as Sebi moves to review CAS settlement rules

Capital market sector stocks advanced on Friday, 4 September 2026, after the Securities and Exchange Board of India (Sebi) announced a review of the settlement price methodology for derivative contracts.

The Nifty Capital Markets index rose 1.09% to 5,415.80. Angel One gained 5.66%. BSE rose 3.41%. Multi Commodity Exchange of India advanced 1.93%. Groww added 1.63%. Motilal Oswal Financial Services gained 1.54%. KFin Technologies rose 0.59%. UTI Asset Management Company advanced 0.39%. Anand Rathi Wealth gained 0.32%. Indian Energy Exchange rose 0.29%. ICICI Prudential Asset Management Company added 0.23%. Central Depository Services (India) gained 0.18%.

Sebi said it will review the methodology used to determine settlement prices for derivative contracts on expiry. The decision follows feedback from market participants after the Closing Auction Session (CAS) was introduced in the equity cash segment.

CAS came into effect on 3 August 2026. It is used to determine the closing price of securities.

Before CAS, the closing price of eligible stocks was based on the volume-weighted average price (VWAP) of trades during the final 30 minutes of continuous trading.

Under CAS, the closing price is determined through a dedicated auction session. The session aggregates buy and sell interest to aid price discovery.

The CAS closing price also serves as the basis for settling derivative contracts on expiry. This linkage has emerged as a key concern among market participants.

Sebi said CAS was introduced after extensive stakeholder consultations. It also held two rounds of public consultation on 5 December 2024 and 22 August 2025.

Since CAS was implemented, Sebi has engaged with stock exchanges, brokers, proprietary traders, software vendors, mutual funds, industry associations and foreign portfolio investors.

The regulator also monitored CAS during its first month of operation. It received feedback from market participants through multiple channels.

A significant area of feedback relates to derivative settlement prices on expiry. The review follows sharp expiry-day moves observed after CAS was introduced. Traders have raised concerns that sudden swings during the closing auction can trigger large changes in option prices in the final minutes of trading, particularly near expiry.

The episode has intensified scrutiny of the interaction between the cash-market auction and the derivatives market. The focus is particularly on expiry days, when the closing price directly affects derivative settlement.

Market participants have also raised concerns over volatility and liquidity during the auction window.

Sebi has not specified the changes it may propose. The consultation paper expected next week will be closely watched by brokers, proprietary trading desks, institutional investors and active derivatives traders.

After reviewing the initial experience and stakeholder feedback, Sebi said it may propose changes to the settlement price methodology for derivative contracts. The regulator plans to issue a consultation paper on the proposed changes in about a week.

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