New Delhi, Sept. 3 -- The Securities and Exchange Board of India (SEBI) is set to review the methodology for determining settlement prices of derivative contracts on expiry, a month after rolling out the Closing Auction Session (CAS) in the cash market.

In a press release issued on Thursday, SEBI said it may propose changes to the settlement price framework and will issue a consultation paper in about a week.

SEBI had introduced CAS in the equity cash segment vide circular dated January 16, 2026, with effect from August 3, 2026, for determination of the closing price of securities. As stipulated in that circular, the closing price determined through CAS also serves as the basis for determination of settlement prices for derivative contr...