Sebi to review derivatives settlement price methodology after CAS volatility

Synopsis Sebi will review derivative settlement prices after market feedback. The Closing Auction Session’s impact on expiry-day settlement is a concern. Traders reported sudden option price swings during the auction window. This review follows the equity cash segment’s Closing Auction Session introduction. A consultation paper on proposed changes will be issued soon. Sebi will review the way settlement prices are determined for derivative contracts after feedback from market participants over the impact of the Closing Auction Session on expiry-day settlement. The market regulator said on Thursday that it may propose changes in the methodology used to determine settlement prices of…