US Markets
Home›US Markets›Indices›Nifty expiry day set for heightened volatility with CA…
Nifty expiry day set for heightened volatility with CAS impact
The closing auction session, introduced on August 3, has been linked to unexpected price swings, and SEBI has proposed changes to derivatives settlement methodology.
LiveMint Markets reports that Nifty September derivatives expiry falls on Tuesday, with volatility expected to rise in the second half of the session because both weekly and monthly futures and options contracts expire, and the closing auction session (CAS) is also in play.
The outlet notes that Nifty derivative contracts typically expire on the last Tuesday of each month, and if that day is a trading holiday, expiry shifts to the preceding trading day. It also says SEBI introduced CAS on August 3 this year and that it has contributed to unexpected price swings and market uncertainty.
LiveMint Markets adds that SEBI is considering a revamp of the settlement methodology for derivatives contracts in response to the CAS-related volatility.
As an example, the outlet says that on the expiry day of the August F&O series, the Nifty saw a strong upswing in the final few minutes, moving almost 1% up from the day's low and 0.5% up from the previous close.