Sebi may use the last 30 minutes' volume-weighted average price for derivatives settlement, while retaining closing auctions for less liquid stocks
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Sebi is likely to change its closing auction mechanism after sharp derivatives price swings on expiry days. The regulator may stop using the closing auction for derivatives settlement for at least a year, shifting to a 30-minute volume-weighted average price, while retaining the auction for less-liquid underlying stocks.
