BSE shares jump 5%; Angel One, Groww also rally in the trade; what is the trigger?

Shares of capital market stocks were buzzing in the trade on Friday, September 4, as SEBI plans to review the settlement price methodology for derivative contracts after the closing auction session (CAS) rollout.

A month after rolling out the CAS, the market regulator SEBI is planning to review the derivative settlement methodology at expiry amid concerns over using the CAS-determined closing price as the settlement basis.

SEBI said on Thursday that it may revise the existing methodology and is likely to release a consultation paper on the proposed framework within about a week

"Among the issues raised, a significant area of feedback relates to the determination of settlement prices of derivative contracts on expiry based on the closing price determined through CAS," the regulator said in a statement.

The development comes shortly after SEBI introduced CAS in the equity cash segment from August 3 to determine the closing price of securities.

Capital market stocks jump

Shares of BSE Ltd jumped as much as 5% to ₹3,474 apiece on the NSE, while Angel One rallied up to 7.8% to hit a high of ₹308.35. Billionbrains Garage Ventures (Groww) shares were up 1.5% to ₹193.10 apiece on the NSE, while Nuvama Wealth Management gained as much as 1.28% to ₹1,862.80 on the NSE.

CAS introduction: What you need to know

CAS is a new mechanism used by stock exchanges to decide the official closing price of a stock or index at the end of the trading day.

In simple terms, instead of taking the price at which a stock was last traded, the exchange conducts a short auction near market close. During this period, buy and sell orders are collected and matched to arrive at a single price at which the maximum number of shares can be traded. That price becomes the official closing price.

Under the current framework, the closing price arrived at through CAS also serves as the basis for determining settlement prices of derivative contracts on expiry.

Having reviewed the first month of CAS operations and considered feedback from market participants, SEBI said it "may propose changes to the methodology for determining settlement prices of derivative contracts".

The proposed changes will be detailed in the consultation paper, which is expected to be issued "in about a week", SEBI said.

Since its implementation, the regulator has been closely engaging with stock exchanges, brokers, proprietary traders, software vendors, mutual funds, industry associations and FPIs to ensure smooth implementation of CAS and address operational issues emerging during its initial adoption, it added.

SEBI also said it has monitored the functioning of CAS and its impact on the market during the first month of implementation.

Feedback was received from market participants and other stakeholders through multiple channels, including social media and other platforms, the regulator said.

CAS was introduced after extensive stakeholder consultations and policy deliberations, including two rounds of public consultation held in December 2024 and August 2025, as well as discussions with advisory committees and various stakeholders.

Last month, SEBI issued an interim order impounding a total of ₹3.68 crore in alleged wrongful gains from two entities accused of price manipulation during the CAS on the BSE Sensex weekly options expiry day on August 13.

Key concerns

CAS itself was introduced to make the closing price more transparent and efficient. The problem is that when that auction price is also used to settle derivatives, even a temporary price distortion near the close can have a much bigger impact on traders' profits and losses. That is why SEBI is now looking at changing the derivative settlement methodology, rather than necessarily scrapping CAS.

The main concern with CAS is that the closing price of stocks—and therefore the index—can move sharply in a very short window because liquidity during the auction is relatively thin. This becomes particularly important on F&O expiry days because the CAS-determined closing price is used to settle derivatives.

The other concern is uncertainty and lower participation.

Since CAS replaced the earlier VWAP-based closing price, traders—particularly options traders—have been worried that a large order in a relatively illiquid auction could have an outsized impact on the closing price.

Available reports and analysis note that this makes it harder to hedge positions and increases the risk of sudden changes in the value of expiring derivatives.

Equity option contracts traded fell 30% month-on-month in August, while index-options premium turnover declined 20%, with analysts linking part of the weakness to CAS-related uncertainty.