CAS stays, but derivatives settlement may change, says Sebi chief Tuhin Kanta Pandey after another 1,000-point Sensex swing

Sebi Chairman Tuhin Kanta Pandey said the Closing Auction Session is not going anywhere, even as traders continue to raise concerns over sharp expiry-day swings linked to the new closing-price mechanism. "CAS is here to stay," the Sebi chief said, making it clear that the regulator is not looking to roll back the closing auction framework.

The statement comes on a day when the Sensex again saw a sharp intraday swing of more than 1,000 points during expiry-day trade before ending only 138 points higher, which reversed the day's losses.

Pandey also said global index provider MSCI had acknowledged that its recent rebalancing went well under the new CAS framework.


The closing auction session handled large institutional flows during the MSCI rebalancing at the end of August. Turnover in the closing auction session on NSE rose to Rs 39,718 crore, or nearly 22% of total cash-market turnover, as passive funds adjusted portfolios according to MSCI index changes.

CAS volatility impact on Sensex, Nifty remains the worry

The larger concern for traders is not whether CAS can handle volumes, but whether it is causing sharp price swings on expiry days.

On Thursday, benchmark indices recovered late in the session after another volatile closing auction. The Sensex rose over 1,000 points from the day’s low during the expiry-day move, but closed only 138 points higher. The sharp swing again brought attention back to CAS and its impact on final settlement prices in derivatives.

Since CAS was introduced, traders have complained that sudden changes in the closing auction price can lead to large moves in index options, especially on expiry days. The concern is sharper in Sensex and Nifty derivatives because the cash-market closing price feeds into the settlement price of expiring contracts.

CAS was introduced to replace the earlier system where the closing price was based on the volume-weighted average price of trades in the final 30 minutes of continuous trading. Under CAS, orders are collected after the regular session and matched at a single closing price.

Also Read: CAS wild swing: Sensex soars 1,000 points on expiry day but ends only 138 points higher

Sebi argues that it improves price discovery and brings India closer to global market practice. Critics say the system needs stronger safeguards because a few large orders during the auction can move indicative prices sharply, creating sudden gains and losses for option traders.

Sebi reviewing settlement price method

While Sebi has ruled out scrapping CAS, it has already started reviewing how derivative settlement prices should be calculated after the rollout of the new system. Earlier this month, the regulator said it would review the settlement price methodology for derivative contracts in light of the CAS rollout. Sebi said CAS became effective from August 3, 2026, and the closing price discovered through CAS is currently used to determine derivative settlement prices on expiry days.

The regulator said it has received significant feedback from market participants on settlement prices based on CAS. It has also held discussions with exchanges, brokers, proprietary traders, software vendors, mutual funds, industry associations and foreign portfolio investors.

Sebi is expected to issue a consultation paper on the issue. The review may examine whether derivatives should continue to be settled based on the CAS-discovered closing price or whether a separate method is needed to reduce expiry-day shocks.

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