Sebi proposes CAS for derivative stocks to simplify pricing mechanism

Mumbai: Sebi on Friday proposed to introduce the closing auction session (CAS) to determine share price first for derivative stocks. It said based on the experience gained, the same would be extended to all stocks at a later stage.

"Passive funds typically track a broad spectrum of indices. If CAS is implemented only for Nifty 50 / Sensex 30 constituents, many stocks in the indices tracked by passive funds would continue to have their closing prices determined by the VWAP (volume weighted average price) methodology, while a subset would have their closing prices determined by the CAS mechanism. This mixed regime would complicate execution and increase operational complexity for passive funds," Sebi said. "...it appears prudent to extend the CAS framework to all the highly liquid stocks to reduce operational complexity for the passive funds," it said.