SEBI is reportedly preparing to stop using Closing Auction Session prices for derivatives settlement on expiry days and return to the last 30-minute VWAP methodology for at least one year. The key point for traders is that this would be a partial rollback of the settlement mechanism, not an abolition of the Closing Auction Session itself.
Credivant's review of SEBI's website on 6 October 2026 found no final implementation circular confirming the change yet. What is official is the policy trail leading up to it: SEBI introduced CAS through its January 16, 2026 circular, formally announced a review of derivatives settlement on September 3, and then published a September 12 consultation paper specifically examining CAS, market timings and expiry-day settlement methodology. The latest reported development therefore fits an official review process that was already underway.
What is changing—and what is not
The reported change is narrow but important. On expiry days, the final settlement price for derivatives may once again be based on the volume-weighted average price of trades during the final 30 minutes of continuous trading, instead of relying on the cash-market closing auction price. CAS would still continue to serve its core role in determining the official closing price for eligible cash-market stocks.
That means traders should separate two different functions that have recently been tied together: cash-market closing-price discovery and derivatives expiry settlement. SEBI introduced CAS because a dedicated auction can aggregate end-of-day demand and supply into one price-discovery event, which is useful for establishing a fair closing price. The difficulty arose when that same closing-auction outcome also became the settlement reference for large F&O positions concentrated on expiry day.
As of now, the following is the cleanest way to read the situation:
| Question | Current position |
|---|---|
| Is CAS being scrapped from the cash market? | No |
| Is SEBI reviewing CAS-linked derivatives settlement? | Yes, officially |
| Is a return to 30-minute VWAP being considered/reported? | Yes |
| Has Credivant found the final implementation circular? | No, not as of 6 Oct 2026 |
| Should traders assume the new method is live already? | No |
Why SEBI began reviewing the system so quickly
CAS was introduced to improve the quality of the official closing price by concentrating orders into a dedicated end-of-day auction. Before the change, the closing price for eligible cash-market stocks was derived from the last 30 minutes of continuous trading. Under CAS, price discovery shifts into a structured auction process where buy and sell interest is pooled and an equilibrium price is determined.
The issue is not whether that mechanism can produce a better cash-market close; the regulatory question is whether the same price should also determine the settlement of expiring derivatives. Expiry days can carry very large open interest, significant hedging flows and intense positioning around the settlement reference. If a short auction window produces a sharp or temporary dislocation, the effect can extend beyond the underlying stock's closing print and directly affect the value at which derivative positions expire.
SEBI's September 3 announcement is important because it shows the regulator itself recognised that the interaction between CAS and derivatives settlement required another look. The September 12 consultation went further by placing alternative settlement approaches on the table rather than treating the August rollout as untouchable. Credivant therefore views the reported rollback as an adjustment to the settlement design after observing live-market behaviour, not as evidence that the entire CAS concept has been abandoned.
Why the old 30-minute VWAP is attractive for expiry settlement
A 30-minute VWAP spreads the settlement reference across a broader period of actual continuous-market trading. Instead of making final derivatives settlement heavily dependent on one short auction event, the reference price reflects many trades across the final half-hour and therefore draws on a deeper pool of continuous liquidity.
That does not make VWAP immune to volatility or strategic trading. No settlement methodology completely removes expiry-day incentives. The advantage is that the pricing input is distributed across time rather than concentrated in one closing auction, which may reduce the impact of an unusual late imbalance or a sharp auction-specific move on the final settlement value.
This is why the reported one-year return to VWAP would make sense as an interim framework. SEBI can retain CAS for cash-market closing-price discovery, collect more data on auction liquidity and participant behaviour, and revisit the derivatives link later with a larger evidence base. In practical terms, the regulator would be separating two functions instead of forcing one price-formation mechanism to do both jobs immediately.
What this means for F&O traders
If the change is formally implemented, the most direct impact will be on expiry-day settlement mechanics. Traders holding futures or options into expiry would once again need to focus on the price formation across the final 30 minutes of continuous trading, rather than treating the closing auction as the decisive settlement event.
That could change how expiry-day hedging and execution are managed near the close. A broader VWAP window distributes the reference over more trades, while CAS concentrates importance in the auction. Traders should nevertheless avoid assuming that expiry volatility will disappear; positioning, hedging demand, index rebalancing and large cash-market flows can still make the final part of the session volatile.
The reported rollback would also not mean that CAS orders vanish from the cash market, that previous settlements are recalculated, or that every element of the current trading schedule changes automatically. Those operational details will only become clear once SEBI, exchanges and clearing corporations issue the final implementation instructions.
Why this is not the same as SEBI “withdrawing CAS”
The phrase “SEBI withdrew CAS” is too broad and can mislead readers. The official January framework introduced CAS in the equity cash segment, and Credivant has not found an official circular withdrawing that framework as of this update.
What is under review is the use of the CAS-derived closing price for derivatives settlement. That distinction matters because the regulator can preserve the auction as a cash-market closing mechanism while changing the price used to settle expiring F&O contracts. Both can coexist.
For investors and traders, this is the most important takeaway: CAS itself may stay; its role in derivatives settlement may be reduced or paused.
What Credivant will verify next
The final circular should settle several questions that remain open today. The most important are the exact effective date, whether the return to VWAP applies uniformly to index and single-stock derivatives, how long the interim arrangement will remain in force and whether any trading-session timings are modified alongside the settlement change.
Exchange and clearing-corporation notices will matter too, because the practical calculation and implementation of the final settlement price ultimately have to be reflected in trading and clearing systems. Until those documents are published, traders should treat the reported change as a highly significant policy direction rather than an already-live rule.
Credivant will update this same article when the official implementation document is available rather than publish a second page on the same search intent.
Bottom Line
SEBI appears ready to separate derivatives expiry settlement from the Closing Auction Session, at least temporarily. The reported plan is to return to the last 30-minute continuous-trading VWAP for F&O settlement for at least one year while retaining CAS for cash-market closing-price discovery.
That would not amount to scrapping CAS. It would amount to accepting that a mechanism designed to improve the official cash-market close may not yet be the best reference for settling concentrated expiry-day derivative positions.
The official timeline supports that interpretation: CAS was introduced in January, rolled out in August, derivatives settlement was formally placed under review in September, and a consultation on alternative settlement methodologies followed. The next step that matters is not another media headline—it is the final SEBI circular and exchange implementation notice.
Disclaimer: This article is for general market information and educational purposes only. It does not constitute trading or investment advice. Derivatives involve substantial risk.
