Derivatives settlement in India will shift from the closing auction price to a volume-weighted average price for expiring index and stock contracts from December 7, 2026, under a circular issued by the Securities and Exchange Board of India (SEBI).

Key Takeaways

  • The new settlement price will use the final 30 minutes of continuous trading.
  • Exchanges will publish indicative index values live during that period, while futures and options will remain open until 3:45 p.m.

Derivatives settlement moves away from the auction

The change replaces the closing auction price with the volume-weighted average price, or VWAP, as the settlement reference for expiring index and stock derivatives. VWAP reflects traded prices weighted by their volumes.

The closing auction session went live on August 3, 2026. SEBI’s circular followed a consultation paper published in September.

What the change means for the closing auction

Expiring derivatives will no longer use the auction price for settlement. The closing price remains relevant to passive funds, which track indexes, value their portfolios at the close and trade at that time when indexes are rebalanced.

The revised arrangement also affects derivatives traders and foreign portfolio investors that bring collateral into India to trade those contracts.

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