The comments come as NSE moves through the regulatory process for its proposed listing. The exchange filed its DRHP in June after receiving SEBI’s no-objection certificate (NOC) to proceed with the IPO.
Pandey also said there would be no change to the current Closing Auction Session (CAS) mechanism, indicating that the system will continue in its present form as market participants become more familiar with it.
SEBI to continue with CAS
CAS is a separate end-of-day auction used to determine the closing price of eligible stocks. Under the mechanism, buy and sell orders are collected during the auction and matched at an equilibrium price that allows the maximum number of shares to be traded.
SEBI introduced the system for stocks in the equity cash segment that have derivative contracts, with the aim of improving price discovery and addressing issues associated with the earlier volume-weighted average price (VWAP) method.
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The CAS runs from 3:15 pm to 3:35 pm, following the continuous trading session. The framework includes a reference-price calculation period, followed by order entry and order-matching stages. Stocks that are not initially covered by CAS continue to have their closing prices determined using the VWAP of trades during the final 30 minutes of continuous trading.
Pandey had said earlier this month that CAS was “here to stay”, while SEBI was reviewing concerns raised by traders and other market participants. He said the regulator was examining data, including expiry-day data, before deciding whether any operational issues needed to be addressed.
He also said some concerns could be linked to legacy systems that had not yet been updated for the new mechanism and that greater participation could improve some aspects of its functioning.
“CAS is here to stay for sure,” Pandey said on August 17. He added that any changes, if required, would be based on data and market feedback.
Pandey also ruled out a return to the earlier VWAP-based closing mechanism solely because some market participants wanted to trade options in a particular way. SEBI had introduced CAS from August 3 as part of the shift away from the previous closing-price methodology.
(Edited by : Ajay Vaishnav)
