SEBI has announced a review of the settlement price methodology for equity derivatives, citing rising volatility that has unsettled traders and raised margin requirements. The board’s focus is on the VWAP (Volume‑Weighted Average Price) model, which currently determines the final settlement price for Nifty and Sensex futures at the end of the trading day. Presently, the market favours the traditional VWAP approach, which uses intraday price and volume data to compute a single settlement figure.
SEBI’s proposal includes a blended VWAP that would combine the current intraday average with a post‑close price, as well as a return to the legacy VWAP method. The blended model is intended to smooth out sudden price spikes that can trigger large margin calls. For retail investors, a more stable settlement price translates into predictable margin demands and reduces the risk of forced liquidations during volatile sessions.
It also improves price discovery for the underlying indices, making Nifty futures a more reliable hedge for portfolio exposure. SEBI has opened a consultation period and is inviting public comments on the alternatives. The regulator aims to finalize the decision by the end of the quarter, after which the chosen method will be implemented across all equity derivatives.