Sebi chief Tuhin Kanta Pandey clarifies on CAS changes after big Sensex expiry-day swing

Sebi Chairman Tuhin Kanta Pandey said the market regulator is not looking at any changes to the Closing Auction Session, or CAS, even as the new closing-price mechanism came under fresh scrutiny after sharp expiry-day swings in the Sensex.

Pandey said Sebi expects market participants to understand the closing auction framework better over time and take part more actively. His comments came on a day when the Sensex saw a sharp move around the close during monthly derivatives expiry, renewing concerns among traders over how the auction-based system is affecting expiry-day settlement.

The Sensex moved from around 77,200 at 3:26 pm to 74,983 at 3:32 pm, a fall of more than 2,000 points in just a few minutes, before recovering part of the losses. At close, the Sensex settled at 76,933, down 0.70%, while the Nifty 50 declined 0.48%.


Thursday’s session was important because it was the first monthly derivatives expiry under the CAS framework. Weekly expiries had already tested the system, but monthly expiry carries a wider impact because stock futures and options also come into play.

That makes the auction-generated closing price more important. It decides the final value for index settlement and can also affect physically settled stock options. A sharp move in the closing auction can change whether an option expires worthless or moves into the money, leaving traders with unexpected delivery or funding obligations.

This is why traders have been watching CAS closely. The system was introduced to improve closing price discovery and bring India closer to global market practice, where auction-based closing prices are widely used. But the early rollout has been uneven, with traders pointing to thinner participation and sharper price moves in the closing window.

The concerns have grown because proprietary trading firms and high-frequency traders have reportedly reduced participation in the auction window. Lower liquidity can make indicative closing prices move sharply when large orders enter the system.

Sebi says no CAS rethink for now

Pandey's comments suggest Sebi is not planning an immediate rollback or major change. He said the regulator is not looking at changes to CAS and believes participation will improve as market participants understand the system better.

The regulator has already faced pressure over CAS after recent sharp moves during expiry sessions. Sebi last week also took action against two firms for alleged manipulation during the closing auction, showing that it is monitoring the system closely.

Pandey had earlier said Sebi is reviewing concerns around the implementation of CAS and trying to understand the "deformities" in the process. He had indicated that some issues may be linked to older systems that have not yet been updated for the new framework.

NSE IPO near approval

Pandey also said Sebi is close to approving the NSE IPO, a long-awaited public issue that has been delayed for years because of regulatory and governance-related matters.

The National Stock Exchange is India’s largest exchange by trading volumes and plays a central role in equities, derivatives, currency and debt markets. A Sebi approval would be the first major step toward one of the most closely watched listings in India’s market infrastructure space.

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