SEBI Restores Volume-Weighted Average Price for Derivatives Settlement
· Business · Bloomberg
The Securities and Exchange Board of India is set to revert to a settlement method for equity derivatives that utilizes the final 30 minutes of trading on expiry days. A group established by the regulator recommended that settlement prices for index and stock derivatives be based on the volume-weighted average price over that specific period. This change effectively delinks the new closing auction from the settlement process for futures and options. The decision follows a meeting held on Thursday, though the regulator has not officially announced the timeline for implementation.
Why it matters
This shift directly impacts traders and institutional investors by changing how expiry-day settlement prices are calculated, potentially reducing volatility associated with the closing auction.
Read the original report — Bloomberg
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