From the conversation
“Since CAS launched on August 3, the closing price used to settle expiring derivative contracts comes from a discrete auction, not a live traded price. For roughly ten to fifteen minutes before the close, index derivatives keep trading continuously while the underlying cash market has already stopped executing trades. The number shown during that window, the Indicative Equilibrium Price, is a projection, not a transaction — yet derivatives price and eventually settle against it.”
On the IEP versus a traded close
Angel One, BSE and Groww moved after SEBI said a consultation paper would follow on how derivative settlement prices are set under CAS. The desk point in Mint was the gap the review has to name: the cash book has already stopped executing, the IEP is still only a projection, and the derivatives book is pricing — and on expiry, settling — against that number.
The excerpt above is from Shai Coelho's remarks as published in Mint. The full piece is at Livemint. Market commentary is educational and observational; it is not investment advice or a trading recommendation.