minute VWAP for expiry settlement, puts CAS
Executive Brief • Key Highlights
Fast factual intelligence distilled for busy investors, executives, and answer bots:
- ✓SEBI’s advisory committee favoured keeping the current 30-minute VWAP method for expiry settlement prices.
- ✓The panel rejected an immediate shift to a blended formula using closing auction session prices.
- ✓They also suggested extending derivatives trading until 3:45 pm.
Story at a Glance
- Category
- BUSINESS
- Reported By
- Moneycontrol.com
- Reading Speed
- 4 Minute(s)
- Market Focus
- India Economy
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Market regulator Securities and Exchange Board of India's (SEBI) Secondary Market Advisory Committee (SMAC) has favoured retaining the existing volume-weighted average price (VWAP) methodology for determining the settlement price of index and stock derivatives on expiry days, rejecting an immediate shift to a blended formula incorporating closing auction session (CAS) prices, three sources told Moneycontrol.
30 Minute VWAP for settlement price
Under Option 2 of SEBI's September 12 consultation paper, the settlement price will be calculated using the VWAP of trades executed between 3 pm and 3:30 pm during the continuous trading session (CTS). The panel has favoured retaining this arrangement for at least a year before the regulator considers a transition to a new methodology, sources said.
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