VWAP labelled ‘only viable path’ for India’s cash, derivatives closing prices

26th October, 2026

Aravind Bulusu
Indiagig

Securities and Exchange Board of India (SEBI) last week restored the traditional volume-weighted average price (VWAP) benchmark to replace the closing auction session (CAS) for derivatives settlement, following intense industry feedback on ‘erratic price swings’ during the auction window on derivative expiry days.

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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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