New Delhi, Sept. 3 -- The Securities and Exchange Board of India (Sebi) is set to review how settlement prices for derivative contracts are determined after industry feedback on the impact of the new closing auction session (CAS) on expiry-day pricing.

According to a statement issued by the regulator on Thursday, it may propose changes to the methodology for determining settlement prices of derivative contracts, with a consultation paper expected to be issued in about a week.

The move comes a month after CAS was introduced in the equity cash segment on 3 August. Under the framework, the closing price is established by matching the maximum number of buy and sell orders in the last fifteen minutes of a trading day. The closing price arriv...