MUMBAI: Sebi chairman Tuhin Kanta Pandey on Thursday said that the newly introduced Closing Auction Session (CAS) will stay but the regulator is studying if the mechanism to arrive at derivatives settlement prices could be changed. Pandey also said that MSCI, one of the largest index service providers in the world, has acknowledged that even though the overlapping of CAS and the index's rebalancing window coincided on Aug 31, the process had ended without any glitch.

SEBI is considering VWAP and tighter price bands to enhance derivatives settlement and address CAS-related concerns.

Sebi Chairman Tuhin Kanta Pandey stated the Closing Auction Session is here to stay. Traders express concerns about sharp expiry-day swings linked to this new mechanism. Global…