New Delhi, Sept. 12 -- The Securities and Exchange Board of India (Sebi) has proposed a revamp of the closing auction session (CAS) framework after market pushback that the month-old system was leading to abrupt price swings and market uncertainty.

In a consultation paper issued on Saturday, the market regulator has suggested expiry-day settlement prices for index and stock derivatives could be calculated using trades from the last 30 minutes of the continuous trading session (CTS) and 10 minutes of the closing auction session (CAS), under a blended volume-weighted average price (VWAP) approach.

As an alternative, the regulator has proposed retaining the existing VWAP methodology initially, with settlement based only on trades during th...