FIA has submitted comments to the Securities and Exchange Board of India on its review of the closing auction session, market timings and settlement methodology for derivatives contracts.
FIA supported using the final 30-minute continuous trading session VWAP as the interim derivatives settlement methodology, rather than the proposed blended VWAP methodology as its variable weighting would make the settlement price difficult to track.
The response recommends that any future transition depend on sufficient closing-auction liquidity and further market consultation. It also addresses order cancellation, iceberg orders, position-limit monitoring and legitimate expiry-related hedging.
Read the full response here.
