Under one proposal, expiry-day settlement prices for stock and index derivatives would be determined via a blended VWAP approach, combining trades from the continuous session’s final 30 minutes with those from the last 10 minutes of CAS. Alternatively, Sebi suggested temporarily retaining the existing model, basing settlement solely on the final 30 minutes of continuous trading, before considering a transition to the blended formula after monitoring CAS for at least a year.
