New Delhi, Sept. 10 -- Securities and Exchange Board of India (SEBI) Chairman Tuhin Kanta Pandey on Thursday said the regulator will retain the newly introduced closing auction session (CAS), even as it reworks the methodology for determining the settlement price of derivative contracts on expiry days following sharp swings in the headline indices.

SEBI is reviewing whether the settlement price for futures and options contracts should be determined differently after market participants raised concerns over the impact of the current mechanism on expiry-day trading and liquidity.

Speaking on the sidelines of the Global Fintech Fest in Mumbai, Pandey said, "MSCI acknowledged that the (recent) rebalancing went well under CAS. CAS is here to...