SEBI reinstates VWAP pricing for derivatives expiry to steady market

The Securities and Exchange Board of India confirmed that derivative settlements on expiry will revert to the volume-weighted average price of the underlying equities measured in the last 30 minutes of continuous trading, discarding the closing auction mechanism that had caused sharp price swings. Traders anticipate that the restored method will provide greater predictability and help restore confidence after a period of falling turnover in equity derivatives on both the National Stock Exchange of India Ltd. and BSE Ltd. The shift is seen as a step toward normalising volumes and reducing the uncertainty that discouraged participants with smaller books.

Brokers and exchanges hope the move will improve order flow and transaction revenue, while proprietary desks and arbitrageurs expect smoother risk management. Industry voices suggest the change could attract traders who had stayed away due to concerns over unfair settlement outcomes.