Hybrid model? I hope it’s the random of CAS price and VWAP price 
CAS makes sense for finding the regular close. The problem is using a thin 15-minute auction to settle a huge derivatives book on expiry.
VWAP for expiry settlement, CAS for the regular close. That probably should’ve been the starting point.
3 Likes
no need these idiot CAS and no need idiot SEBI
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we suppose to get information about expiry delink from cas within week but we did not get it yet.
looks like we going to expect bad news once again.
they says CAS works as intended because it worked on msci rejig…
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SEBI PAPER ON CAS IS OUT
- 5 topics with suggestions
- Deadline for suggestions is Oct 3rd
Read on.
- F&O SETTLEMENT
Option 1: Use Blended VWAP
- 30 minutes of normal cash trading + 10 mins of CAS
- Weight depends on actual trading in each period
Option 2: Go back to old VWAP, for now
- Use only last 30 mins of continuous cash trading
- CAS trades would have 0 role in expiry settlement
- Take a call on moving to Option 1 after 1 year
- MARKET TIMINGS
Option 1
- Normal cash trading for CAS stocks until 3:30 PM
- CAS then runs roughly 3:31–3:40 PM
- F&O trading continues until 3:45 PM
Option 2
- CAS stocks continue normal trading only until 3:15 PM
- CAS runs roughly 3:15–3:25 PM
- F&O closes at 3:30 PM
- Non-CAS stocks continue trading normally until 3:30
- NO LIVE INDICATIVE INDEX VALUES DURING CAS
- Stop showing the live indicative index during CAS
- Individual stocks can still show indicative rates
- CLAMP DOWN ON SPOOFING
- Keep the overall CAS price band at ±3%
- Orders within ±1% of ref price can be cancelled
- An order > 1% away from ref price = no cancellation
- BRING ICEBERG ORDERS INTO CAS
- Any unexecuted portion of an Iceberg order at the end of normal trading would move into CAS
- But it would become a normal limit order
4 Likes
Blended VWAP will improve CAS volume as entities who want to close at a certain price will need to compete on volume.
2 Likes
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If they stop showing indicative price at least retailers traders will stop trading.
Nooo
How did you come to that conclusion ?
Even if they stop showing IP ig we can easily calculate it ourself with bid-ask ig
I am not sure though
Actually that’s not a bad idea as well. It makes JS blind they cannot fix it to a specific price without knowing where it exactly it is now.
In fact this might make more wild moves.
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Yeah that’s a problem especially if individual stocks show it
It needs to be a complete black box or completely transparent, but inbetween won’t work.
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but will it take months to implement like other Consultation papers, if so then cas manipulators will try to loot as much as they can before the change, we will see very wild moves.
This may be an old news , but on Tuesday don’t know what will be Reaction of Nifty , if SEBi does changes CAS rules
It’s just consultation paper and it’ll take time at least a few months. This current paper comment period itself only closes on october 3rd.
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why they implement - then again public opinion
according to SEBI public opinion means - sebi chairman , 7 sebi executived thats all public opinion
You can give your opinion by voting here and commenting:
https://www.sebi.gov.in/sebiweb/publiccommentv2/PublicCommentAction.do?doPublicComments=yes