From the column
“Nothing has actually traded until the final match. Derivatives are pricing and hedging against that non-transacted number in real time, and on expiry day, ultimately settling against wherever it lands.”
On two Thursdays with the same signature
CAS went live on 3 August. On 27 August and again on 3 September, the Sensex auction low sat on the exact −3% band floor. The swings were 2,171 and 2,658 points. Size was not the variable. The MSCI India rebalance cleared roughly ₹39,000 crore in an orderly auction; the 3 September expiry moved 2,000 points on about ₹126 crore of Sensex CAS turnover.
On the gap derivatives are trading across
Index derivatives keep trading while the cash book is dark. For those minutes the displayed IEP is a live projection, not a transacted price — recalculated whenever an order is added, changed, or withdrawn. That is the same gap underneath SEBI's Copthall/Mansi order: large orders that move the IEP, then come off before the match.
On what the first month points toward
The column does not ask to rebuild CAS. It targets the gap: a shorter collection window, limit orders only, no cancellations once submitted, no live IEP formatted as a price, and a tighter band until liquidity in the affected names improves. The change that does the most work is the cancellation rule — an order that cannot be withdrawn is a commitment, not a signal.
The excerpts above are from Shai Coelho's guest column as published by NDTV Profit. The full piece is at NDTV Profit. Market commentary is educational and observational; it is not investment advice or a trading recommendation.