MUMBAI: Markets regulator Sebi on Saturday proposed to make some modifications to the just lately launched Closing Public sale Session’s (CAS) timings and to the derivatives pricing mechanism. Launched on Aug 3, CAS had created controversy out there with merchants and buyers mentioning that it elevated volatility in inventory costs and index values.Final week, Sebi had stated that it was engaged on a session paper on CAS and derivatives pricing. The Sebi session paper acknowledged that there have been some points regarding pricing of derivatives contracts, particularly on days these contracts had been expiring.Among the many proposals in Sebi’s session paper are two decisions for arriving on the settlement value for derivatives trades. For one, use a mix of value found over the last half-hour of standard buying and selling (additionally known as steady buying and selling session with quantity weighted common value or CTS VWAP) and the worth found throughout CAS. The second possibility is to make use of the worth found over the last half-hour of standard buying and selling and contemplate CAS trades for derivatives pricing after a yr.The regulator can also be proposing modifications to market timings. After common buying and selling ends, there will probably be a one-minute transition break after which buying and selling will shift to CAS for 9 minutes. After that there could be five-minute further derivatives buying and selling window.Right here beneath the primary possibility common buying and selling would proceed until 3.30pm. After that there could be CAS and derivatives buying and selling until 3.45pm. Second possibility is to finish common buying and selling at 3.15pm, adopted by CAS and derivatives buying and selling until 3.30pm.The session paper additionally proposed that the reference value for CAS will proceed to be primarily based on the final 15-minute VWAP of steady buying and selling. It additionally stated that CAS value band would stay at ±3%. It additionally stated orders which are throughout the ±1% band might be cancelled. Then again, orders between ±1% and ±3% can’t be cancelled and may solely be modified to enhance the worth, it stated.The paper proposed that indicative index worth is not going to be disseminated throughout CAS.Sebi has requested for feedback on the paper until Oct 3.
