# Sebi Reintroduces VWAP for Derivatives Expiry

> Sebi returns VWAP pricing to calm expiry-day volatility after CAS caused sharp swings.
- Title: Sebi Reintroduces VWAP for Derivatives Expiry · mint
- Summary: Sebi returns VWAP pricing to calm expiry-day volatility after CAS caused sharp swings. Sebi reintroduces volume-weighted average price for derivatives expiry…
- Keywords: sebi, vwap, derivatives, expiry, cas, nifty, sensex, futures, options, volatility, money, business
- Source: mint — https://livemint.com/market/sebi-reintroduces-vwap-for-derivatives-expiry-after-cas-turns-markets-volatile-11792079015676.html
- Author: Apoorva Ajith
- Published: 2026-10-15T16:45:20+00:00
- Read time: 1 min
- Topics: sebi, vwap, derivatives, expiry, cas, nifty, sensex, futures, options, volatility, money, business
## Sebi Reintroduces VWAP
Sebi reintroduces volume-weighted average price for derivatives expiry days after CAS caused price swings.

> CAS, introduced in August, led to abrupt price swings on expiry day, making it difficult for traders to participate in the futures and options (F&O) segment
## VWAP vs CAS
VWAP takes price and volume into account while CAS uses an auction to match orders and derive closing prices.

> Unlike a simple average, VWAP takes into account both the price and volume of trades
## Market Reaction
Market participants urged Sebi to retain VWAP-based pricing on expiry days and introduce blended pricing on non-expiry days.

> Many market participants have urged Sebi to retain VWAP-based settlement pricing on expiry days
## Operational Changes
Sebi reduced transition period between continuous trading to CAS from five minutes to one minute, with CAS running from 3:30pm to 3:40pm.

> For the rest of the market, Sebi has reduced the transition period between continous trading (CTS) to CAS from five minutes to one minute
## Implementation Timeline
Unexecuted iceberg orders move to CAS as limit orders starting 8 February 2027, with full implementation by 7 December.

> Unexecuted iceberg orders would now move to to CAS as limit orders, unless the trader opts out of it
## Why This Matters
Sebi's move aims to reduce volatility and ensure smoother trading in derivatives markets during expiry periods.

> Sebi reviewed the framework through a consultation paper in September, following pushback from market participants over a liquidity squeeze during the auction
## Key takeaway

Sebi reintroduces volume-weighted average price for derivatives expiry days to reduce price swings caused by the auction system.