Mumbai, Sept. 11 -- A less volatile price point for futures and options contracts on expiry days could help improve price discovery, Kamlesh Shroff, National President of the Association of National Exchanges Members of India (ANMI), said on Friday, while discussing possible changes in the derivatives market.

Shroff said that the consultation paper on the derivatives market structure is expected shortly and that the framework could evolve over time as different participants in the ecosystem adopt the changes.

"Can we look at a solution where we can close the referral pricing for options specifically? Can we close the futures and options on an expiry day? Can close with a particular price point which is less volatile? That is the basic r...