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Business & Stocks Livemint Markets & Economy • Oct 15, 2026

SEBI Backs 30-Minute VWAP for Derivatives Expiry Settlement, Pauses CAS Formula: Impact on F&O Trading

💡 Key Takeaways

•SEBI backs a 30-minute VWAP for derivatives expiry settlement following extensive feedback from market participants.
•The CAS-linked formula introduced in August has been put on hold because it triggered severe intraday price swings and liquidity strain on expiry day.
•F&O market participants and brokerages expect trading volumes and settlement mechanisms to normalize under the revised framework.

NEW DELHI [NCRBuzz Wire] — ### Regulatory Shift in Derivatives Settlement

**The Securities and Exchange Board of India (SEBI) has partly reversed its derivative settlement rules by endorsing a 30-minute Volume Weighted Average Price (VWAP) for expiry settlement and pausing the controversial Continuous Action System (CAS)-linked formula.** This adjustment comes after extensive feedback and pushback from market participants, brokerages, and industry stakeholders regarding market microstructure stability.

### Impact of the August CAS Rollout

**The CAS-linked formula, introduced in August, triggered severe intraday price swings and liquidity strain on expiry day, prompting regulatory intervention.** Market participants noted that the sudden introduction of the mechanism made it difficult for traders to operate efficiently within the futures and options (F&O) segment, necessitating a structural rethink.

### Outlook and Normalization

**F&O market participants and brokerages expect trading volumes and settlement mechanisms to normalize under the revised framework.** Industry players, such as Groww, anticipate that trading volumes will stabilize rather than surge following SEBI's recalibration of the CAS rules, while broader market parameters continue to adjust to the evolving regulatory landscape.

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🏛️ Background Context

SEBI's regulatory adjustments reflect ongoing fine-tuning of India's F&O market microstructure, balancing systemic risk mitigation goals with trader execution stability after empirical liquidity disruptions stemming from the August CAS introduction.

💡 Citizen & Commuter Quick Explainer (FAQ)

Q1: What triggered SEBI's decision to reintroduce VWAP for derivatives expiry?

The introduction of the Continuous Action System (CAS) in August caused abrupt price swings and volatility in the F&O segment, prompting regulatory intervention.

Q2: Which market segment is directly affected by this regulatory change?

The Futures and Options (F&O) derivatives segment is directly impacted, specifically during contract expiry sessions.

Q3: What is the primary objective of using the VWAP benchmark?

VWAP provides a balanced volume-weighted average price reference to curb extreme intraday volatility and ensure orderly price discovery.

Verified Wires: Livemint Markets & Economy, Google News Business Original Wire Dispatch ↗

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