Sensex Volatility Raises Questions About Closing Auction Session
· Business · Economic Times
The Sensex experienced a sharp 2,000-point swing within six minutes during Thursday's monthly derivatives expiry, prompting renewed scrutiny of the Closing Auction Session mechanism. The index dropped from 77,200 at 3:17 pm to 74,983 at 3:23 pm before settling at 76,933. Market participants noted that thin liquidity during the auction window amplified volatility, affecting derivatives settlement and option payoffs. The system, introduced on August 3, is intended to align Indian markets with global practices for end-of-day price discovery.
Why it matters
The extreme volatility during the closing session directly impacts derivatives settlement and investor payoffs, raising concerns about the stability of the new auction-based pricing mechanism.
Read the original report — Economic Times
Join us on Telegram
Breaking news the moment it lands. At 10,000 members we ship the Android app.