“Jefferies believes Sebi's proposed changes to the Closing Auction Session (CAS), including a return to VWAP-based derivative settlement and restrictions on cancelling limit orders, will reduce end-of-period volatility on expiry days. While options premium turnover was initially impacted in August, it has recovered in September as traders adapted. Implementation is expected from October or November 2026.”

Jefferies Analysis’s track record: 3 graded calls · 95% CI 44–100%