India is already redesigning its month-old close

SEBI’s closing auction for derivatives-linked stocks began on August 3 and produced violent indicative-price swings on expiry days. The regulator is now consulting on two settlement choices: blend the final 30 minutes of continuous trading with the 10-minute auction, or revert to the old 30-minute VWAP for at least a year. It also proposes cutting the post-auction derivatives window from ten minutes to five, restricting cancellation of orders more than 1% from the reference price, and withholding the estimated closing index during the auction. Comments close October 3. Reuters, September 15

The last proposal breaks the visible feedback loop between an unstable indicative cash close and derivatives still trading against it. That may reduce reflexive volatility, but it also removes information precisely when participants are trying to manage expiry exposure. The cancellation restriction has a different effect: an off-market order becomes more of a commitment once submitted. Both changes deserve testing against the full indicative path as well as the final uncross. Jefferies expects implementation in October or November; SEBI has not supplied that timetable.