New Delhi, Sept. 11 -- Market regulator Securities and Exchange Board of India (SEBI) is set to review the methodology for determining settlement prices of derivative contracts, with the regulator likely to issue a consultation paper on the matter on Saturday, September 12, according to media reports.

The review comes after sharp swings in the headline indices on expiry days following the rollout of the Closing Auction Session (CAS) in August. SEBI is expected to propose changes to the existing methodology to address concerns over how settlement prices are determined under the new system.

SEBI had earlier said it was closely monitoring the functioning of CAS during its first month and had held discussions with a wide range of market par...