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SEBI Panel Retains 30-Minute VWAP for F&O Expiry
SEBI’s Secondary Market Advisory Committee (SMAC) has recommended retaining the 30-minute Volume-Weighted Average Price (VWAP) for index and stock derivatives expiry settlement, while putting the CAS-linked blended formula on hold. The move aims to address concerns about uncertainty when closing prices interact with derivatives positions during the final minutes of trading.