SEBI delinks expiry-day derivatives settlement from CAS, brings back 30-minute VWAP

16th October, 2026

Aravind Bulusu

The regulator directed stock exchanges to compute the volume-weighted average prices (VWAP) of underlying indices and securities during the last 30-minutes of the continuous trading session (CTS), for use by clearing corporations in determining the expiry-day derivatives settlement price.

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ABN AMRO
Bank of America
CBOE
Citi
Goldman Sachs
DRW Holdings
HSBC
J.P Morgan
Marex
Morgan Stanley
SGX
SocGen
Susquehanna
MUFG Investor Services
TP ICAP
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