{"id":287769,"date":"2026-10-05T16:47:45","date_gmt":"2026-10-05T11:17:45","guid":{"rendered":"https:\/\/univest.in\/blogs-2\/?p=287769"},"modified":"2026-10-05T16:47:45","modified_gmt":"2026-10-05T11:17:45","slug":"sebi-closing-auction-rules-partial-reversal-derivatives-settlement","status":"publish","type":"post","link":"https:\/\/univest.in\/blogs-2\/sebi-closing-auction-rules-partial-reversal-derivatives-settlement\/","title":{"rendered":"SEBI Closing Auction Rules: Why the Regulator May Partly Reverse Them After Sharp Derivatives Price Swings, What Changes for Expiry-Day Settlement and What Traders Should Watch"},"content":{"rendered":"

SEBI to use 30-min VWAP for derivatives settlement for 1+ year; closing auction stays for cash closes. CAS began 3 Aug; Nifty fell 2.2% in the auction on 29 Sep.<\/em><\/p>\n

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Quick Answer<\/strong><\/p>\n

SEBI may partly reverse its closing auction rules, according to a Reuters report on 5 October: it would stop using the closing auction to set derivatives settlement prices for at least a year and use the volume-weighted average price of the last 30 minutes of trading instead, while keeping the auction for closing prices of underlying stocks in the less liquid cash market. The closing auction session (CAS) began on 3 August 2026, and expiry-day swings followed, including a Sensex indicative price fall of about 2,000 points on 27 August and a 2.2% dip in the Nifty’s indicative close on 29 September. SEBI received over 20,000 comments on its September consultation, and the changes are expected by the end of October, though the report is based on unnamed sources. For traders, a 30-minute VWAP should reduce cliff-like settlement jumps, but expiry-day risk will not disappear.<\/p>\n<\/p><\/div>\n

SEBI closing auction rules are set for a partial rollback, two sources told Reuters on 5 October, after the new auction caused sharp swings in derivatives prices. The regulator is expected to separate derivatives settlement from the closing auction and implement the change by the end of this month, but there is no official circular yet.<\/p>\n

If you are searching for what SEBI is changing in the closing auction and what it means for expiry-day trading, this article covers the timeline since 3 August when CAS began, the Nifty and Sensex swings on expiry day, why liquidity and index options settlement mattered, the 20,000 responses and the FIA stance, what is reportedly changing in derivatives settlement and the 30-minute VWAP by the end of October, the impact on traders and funds, and the risks. This is based on a sources-based report, so wait for the official SEBI circular.<\/p>\n

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