Sebi proposes new CAS framework, two options for expiry-day settlement
· economictimes.indiatimes.com
The Securities and Exchange Board of India (SEBI) is set to implement crucial updates to the Closing Auction Session. A focus of these changes is on the process of derivatives settlement on expiry days. SEBI has laid out two alternatives for determining the derivatives settlement price: the first proposes a blended VWAP approach after one year, while the second keeps the current CTS VWAP process in place for the present.
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Derivatives activity around the closing period
Two options for derivatives settlement
Option 1: Blended VWAP
Option 2: CTS VWAP
as a Reliable...