SEBI Chairman Tuhin Kanta Pandey confirmed on September 10, 2026, that the Closing Auction Session will remain the equity market's closing-price mechanism, even as the regulator finalises changes to how expiry-day derivatives settlement prices are calculated under it.
Chairman rules out a rollback
Speaking on the sidelines of Global Fintech Fest 2026 in Mumbai, Pandey stated plainly that CAS "is here to stay." He pointed to feedback from global index provider MSCI, which found its recent index rebalancing exercise went smoothly under the new closing-price framework, as evidence the mechanism is functioning as intended for the cash market.
Pandey also addressed the liquidity concerns that surfaced when CAS was rolled out. "Initial liquidity was an issue after implementation," he said, "however, liquidity builds up over time." SEBI separately noted it sees no concerns around tracking errors under the new system, addressing one of the technical worries market participants had raised since launch. Together, these remarks signal that the regulator views the cash-market side of CAS as stable, even as a separate, narrower problem persists around derivatives expiry.
What is under review
While the cash-market mechanism stays untouched, SEBI is reworking the specific methodology used to determine expiry-day closing prices for derivatives contracts. Under CAS, the closing price discovered through the auction also feeds directly into derivative settlement values on expiry day, and this linkage is the part regulators are now revisiting.
The review was formally announced on September 3, 2026, when SEBI said it would consider changes to the settlement-price methodology after receiving feedback from market participants, with a consultation paper expected within about a week. As of September 10, that consultation paper has not yet been published, meaning traders and brokers should continue watching for a formal draft proposal rather than expecting an immediate rule change.
CAS was introduced for F&O-eligible stocks from August 3, 2026, under a SEBI circular dated January 16, 2026. It replaced the earlier method of computing closing prices using the last 30 minutes' volume-weighted average price (VWAP), substituting instead a matching-based auction conducted in the final minutes of trade, after regular continuous trading ends at 3:15 pm.
Why the review was triggered
The push to revisit settlement pricing followed two episodes of sharp expiry-day volatility since CAS went live.
- On August 27, 2026, the first monthly expiry under the new system, the indicative Sensex value reportedly fell more than 2,000 points before recovering during the closing auction window, prompting former BJP MP Kirit Somaiya to formally seek a SEBI inquiry into the swing.
- On September 3, 2026, a BSE expiry day, the indicative Sensex closing value briefly dropped roughly 2.5%, with premiums on some Sensex put options spiking between 400% and 500% during the auction window before the index settled 417 points lower at 76,152.86.
These episodes intensified scrutiny of how a few minutes of auction-based trading can move settlement values sharply on expiry days, particularly for options positions priced close to their strike levels.
Markets stayed calm on September 10
The same-day trading pattern underscored why the issue remains live. On September 10, indicative Nifty 50 and Sensex levels rose more than 1% during the CAS window, a contrast to the marginal loss both indices showed at the 3:15 pm regular close moments earlier.
| Index | Regular close (3:15 pm) | CAS-adjusted close | Change |
| Nifty 50 | Slightly lower | 23,477.80 | +0.2% |
| Sensex | Slightly lower | 74,902.59 | +0.19% |
Unlike the expiry-day episodes, September 10 was not a derivatives expiry session, and the swing was modest by comparison. Even so, it illustrates the recurring gap between pre-auction and post-auction index levels that has kept CAS under the market's watch since its launch in August.
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What investors should track
For cash-market investors, Pandey's comments effectively close the debate over whether CAS itself would be scrapped it will not be. The open question is narrower: how SEBI recalibrates the formula used specifically for derivatives settlement on expiry days.
Some market reports have floated the possibility of reverting partly to the earlier VWAP-based approach, or adopting a hybrid formula, for weekly and monthly expiry settlement, while keeping CAS unchanged for the daily cash-market close. None of this has been confirmed by SEBI, and traders should treat such possibilities as unverified until the regulator's consultation paper is formally released.
Until that paper arrives, F&O traders especially those holding options positions near expiry remain in a period where settlement-price mechanics could still change, even as the broader CAS framework for daily stock closing prices has now been confirmed as a permanent fixture of India's market structure.
