New Delhi, Oct. 15 -- The Securities and Exchange Board of India (SEBI) has revised the framework for the Clearing and Settlement (CAS) mechanism, introducing changes to the auction window and the calculation of reference prices for eligible securities.

The market regulator on Thursday rolled back the closing auction session (CAS) framework for derivatives settlement, which was introduced in August and led to sharp swings in benchmark indices on expiry days.

In a late-night circular, SEBI said that the closing price will be calculated based on a 30-minute volume-weighted average price (VWAP) on derivatives expiry days i.e. Tuesday and Thursday.

(more to come)

Published by HT Digital Content Services with permission from MINT....