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Sebi flags auction-band rule breaches around Sensex expiry
Sebi said orders in the closing auction session can be placed only within 3% of the reference price, a band it used to question trades tied to the 13 August Sensex expiry.
Sebi launched a crackdown on a foreign portfolio investor and a domestic broker over alleged manipulation during the closing auction session for Sensex options expiry day, framing the action as a deterrent ahead of upcoming monthly Nifty and Sensex derivatives settlements, according to LiveMint Markets. The regulator said the closing auction session (CAS) order-entry period restricts orders to within 3% above or below the reference price, which it described as creating a clearer surveillance framework for unusual trading. LiveMint Markets also noted that on expiry days, cash and derivative prices converge as the option premium narrows, while activity during the closing minutes can move settlement outcomes in thin markets. In Sebi’s interim order, the regulator pointed to alleged behavior by Copthall Mauritius Investment Ltd and Mansi Share and Stock Broking Ltd on 13 August, when they traded Sensex expiry options ahead of the CAS, which runs between 3:15 and 3:35 pm daily. The trades occurred during the 10-minute order placing window from 3:20 to 3:30 pm, when Copthall was said to have bought Sensex constituents at the 3% upper band to the reference price, while Mansi Share was said to have sold constituents 3% below that reference price. LiveMint Markets added that Copthall Mauritius Investment is reported by Bloomberg as a unit of JPMorgan Chase & Co., and cited market expert Rajesh Palviya of Axis Securities describing the move as a sign that Sebi is closely monitoring derivatives-related conduct during expiry and CAS windows. The case is also described as attracting surveillance attention from Sebi’s department.
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