Markets regulator SEBI will retain the newly introduced closing auction session (CAS), its chairman Tuhin Kanta Pandey said on September 10 and said the regulator is only seeing if F&O settlement price could be based differently.
Speaking on the sidelines of Global Fintech Fest in Mumbai, he told reporters, "MSCI acknowledged that the (recent) rebalancing went well under CAS. CAS is here to stay. The methodology for determining the closing price under CAS for derivatives on expiry day is being reworked."
"The rollout of CAS across jurisdictions has faced challenges. Initial liquidity has been an issue everywhere following the rollout of CAS. Liquidity builds up over time," he added.
Pandey's comments came while indicative closing levels for benchmarks Nifty 50 and BSE Sensex briefly jumped over 1% higher during the CAS on September 10, compared with a slight loss after the end of normal trading at 3:15 p.m. IST.
The Nifty 50 settled 0.2% higher at 23,477.8 and the BSE Sensex added 0.19% to 74,902.59.