Simplest solution of CAS issue being faced in India is to have different close settlement for cash and Eq derivatives.
It is a totally valid mechanism to kill disconnect between vwap based close vs executable quote ( must to develop passive investing via ETFs and to some extent even for MFs dealing with large inflow or outflow on certain days) but its impact on derivatives settlement should be ringfenced.
In US, monthly index options & futures (SPX, RUT, VIX contracts) have an AM expiration. Trading for these contracts actually stops on Thursday night. Final settlement price (known as SET value) is determined by opening prices of each individual component stock on Friday morning.
For major European equity index derivatives (DAX, CAC 40, FTSE 100), expiration settlement price is not calculated at the end of the day. Instead they utilize midday "fixing" windows on 3rd Friday of the month.
For Hong Kong stock options & index derivatives, final settlement price is determined by taking quotes of underlying index at 5 minute intervals across the entire final trading day, rather than just using the closing price.
For single stock derivative, the settlement price is calculated using a 5-day average closing price leading up to expiry.
SEBI does not need a consultation paper to understand how disastrous CAS is.
23,600 was a major support. The entire Planet knew it.
Under the older methodology, the closing price would have been determined before 3:15 PM. Traders would have had sufficient time to understand.
But CAS changed that completely - :
In the final 15 minutes, 23,600 was simultaneously broken and defended through the indicative price mechanism.
Let’s see it from a retail trader’s perspective:
1). 23,600 is a well-known support.
→ Retail traders position themselves LONG, expecting support to hold.
2). Suddenly, the indicative price starts showing 23,300.
→ The message appears clear: 23,600 has broken.
→ Traders panic, exit longs and some even go SHORT expecting further downside.
3). Then, before they can react, the indicative price moves back above 23,600.
→ Shorts are trapped.
→ Longs have already been stopped out.
→ Traders positioned on both sides get punished.
And who benefits from this chaos?
Those with the ability, capital and information to operate inside this distorted closing mechanism.
@SEBI_India
@NSEIndia
@BSEIndia
@FinMinIndia
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Last edited Sep 8, 2026 · 8:51 PM UTC
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