Securities and Exchange Board of India (SEBI) said it may propose changes to the methodology for determining settlement prices of derivative contracts on expiry, following feedback from market participants during the first month of the Closing Auction Session, according to a statement issued by the regulator on Thursday.
A consultation paper is expected to be issued in about a week.
SEBI introduced the Closing Auction Session in the equity cash segment from Aug. 3 to determine closing prices of securities. Under the framework, the closing price set through the session is also used to determine settlement prices for derivatives on expiry.
The regulator said it has monitored the implementation and engaged with exchanges, brokers, traders, software providers, mutual funds and other market participants to address operational issues.