India’s Proposed Auction Revamp Could Benefit Bourses and Brokers

India’s market regulator is looking to adjust the country’s new closing auction system after its first few weeks were marked by sharp price swings around derivatives expiry. The proposed changes could ease some of the uncertainty that has weighed on trading activity, giving stock exchanges and brokers a potential lift. SEBI introduced the Closing Auction Session on August 3, 2026. Before that, closing prices were based on the volume-weighted average price (VWAP) during the final 30 minutes of trading. CAS was supposed to improve price discovery. Instead, expiry days brought a new problem: the auction affected how derivatives were settled.

September 15, 2026

SEBI Looks to Change the Settlement Formula

SEBI has proposed two options for calculating expiry-day settlement prices for index and single-stock derivatives.

The first would use a blended VWAP based on actual trading during the final 30 minutes of continuous trading and the 10-minute CAS. The second would temporarily return to the previous approach, using only the final 30 minutes of continuous trading for settlement. Under that option, CAS prices would be excluded for at least a year while the market adjusts to the new system.

The regulator is also proposing tighter rules around orders during the auction. Orders placed more than 1% away from the reference price would no longer be freely cancellable, while unexecuted iceberg orders could move into the auction. SEBI is also considering a shorter post-auction derivatives trading window and stopping the display of an indicative index value during CAS.

Why Brokers Could Benefit

The changes matter because derivatives activity fell after CAS was introduced. Jefferies estimates that average daily turnover in index options on NSE and BSE declined 17% and 26%, respectively, in August compared with July. The number of option orders also fell 30%.

Trading activity has started to recover in September, however. Jefferies said options' average daily turnover was down only 4% from July levels on a month-to-date basis, while daily orders were 9% lower. A clearer settlement framework could help that recovery continue by reducing some of the uncertainty surrounding expiry-day trading.

That would be particularly relevant for brokers with substantial derivatives exposure. Jefferies expects firms such as Groww to benefit if trading volumes recover, with futures and options accounting for around 55% of its revenue.

Exchanges May See a More Mixed Impact

Stock exchanges could also benefit from more stable trading conditions, but the impact is unlikely to be uniform.

BSE is a clear example. Despite viewing SEBI’s proposals as positive for market infrastructure, Jefferies has maintained an Underperform rating on the exchange. It argues that growth in the overall options market has been limited and that BSE’s gains in market share may be approaching a ceiling.

What Happens Next

SEBI will accept comments on the proposals until October 3, 2026. The regulator then has to decide how expiry-day settlement prices should be calculated under the new auction system.

A blended VWAP would allow CAS prices to play a role in the calculation, while the other proposal would keep them out for at least a year. The final rules will also determine whether the shorter post-auction trading window and other changes to order handling go ahead.

For brokers, a clearer settlement process could remove some of the uncertainty that has affected derivatives activity since CAS was introduced. Exchanges have more to prove: the revised system needs to improve the closing process without making traders less willing to participate near the end of the session.