Jefferies sees CAS proposals easing uncertainty for brokers, exchanges; maintains 'BUY' on Groww, 'Underperform' on BSE
In a note, Jefferies said Sebi has proposed changing the settlement price for derivatives to the volume weighted average price (VWAP) or a blend of VWAP and CAS.
- Sep 14, 2026,
- Updated Sep 14, 2026 3:05 PM IST
Global Brokerage Jefferies said the Securities and Exchange Board of India's (Sebi) proposals on the Closing Auction Session (CAS) address key concerns raised by options traders and could reduce uncertainty for brokers and exchanges.
In a note, Jefferies said Sebi has proposed changing the settlement price for derivatives to the volume weighted average price (VWAP) or a blend of VWAP and CAS. It has also proposed discontinuing the cancellation of limit orders placed beyond a plus or minus 1 per cent threshold of the reference price during CAS.
The brokerage said these measures address concerns around volatility and settlement prices during expiry days. Sebi has also proposed that unexecuted iceberg orders may be transitioned to CAS, which could increase liquidity during the auction session.
Sebi introduced CAS from August 2026. Jefferies said discussions with domestic proprietary traders indicated that CAS had initially resulted in higher losses due to volatility in index prices during the last hour on expiry days.
Index options average daily turnover (ADTO) on NSE and BSE declined 17 per cent and 26 per cent, respectively, in August compared with July, while option orders fell 30 per cent, according to Jefferies.
However, trading activity improved in September. In September month-to-date, options ADTO and orders traded per day were down 4 per cent and 9 per cent, respectively, compared with July, the brokerage said.
Jefferies said the deadline for responses to Sebi's consultation paper is October 3, 2026. It expects implementation of the proposed changes could take place later in October or November.
Jefferies remains cautious on BSE
Despite the proposed changes, Jefferies maintained its 'Underperform' rating on BSE with a target price of Rs 2,940. The brokerage said its stance reflects limited growth in the overall options industry over the past two years and its view that BSE's market-share gains may be nearing a ceiling, with expiry-day Sensex and Nifty ADTO now similar.
Jefferies also said tighter Reserve Bank of India (RBI) norms on bank guarantees could adversely affect premium turnover by up to 10 per cent over the next year. It added that BSE could potentially undergo a management transition by June 2027.
Groww preferred
Jefferies maintained a 'BUY' rating on Billionbrains Garage Ventures (Groww) with a target price of Rs 240. The brokerage said Groww could also benefit from the resolution of CAS-related issues, with futures and options (F&O) accounting for around 55 per cent of its revenue.
It expects Groww's broking business to grow 18 per cent, supported by client vintage and market-share gains, while new initiatives such as margin trading facility and wealth management could provide additional growth drivers.
Jefferies also noted that Groww plans to add US stocks later in FY27. It estimates this could contribute 5-9 per cent to FY28 earnings.
Global Brokerage Jefferies said the Securities and Exchange Board of India's (Sebi) proposals on the Closing Auction Session (CAS) address key concerns raised by options traders and could reduce uncertainty for brokers and exchanges.
In a note, Jefferies said Sebi has proposed changing the settlement price for derivatives to the volume weighted average price (VWAP) or a blend of VWAP and CAS. It has also proposed discontinuing the cancellation of limit orders placed beyond a plus or minus 1 per cent threshold of the reference price during CAS.
The brokerage said these measures address concerns around volatility and settlement prices during expiry days. Sebi has also proposed that unexecuted iceberg orders may be transitioned to CAS, which could increase liquidity during the auction session.
Sebi introduced CAS from August 2026. Jefferies said discussions with domestic proprietary traders indicated that CAS had initially resulted in higher losses due to volatility in index prices during the last hour on expiry days.
Index options average daily turnover (ADTO) on NSE and BSE declined 17 per cent and 26 per cent, respectively, in August compared with July, while option orders fell 30 per cent, according to Jefferies.
However, trading activity improved in September. In September month-to-date, options ADTO and orders traded per day were down 4 per cent and 9 per cent, respectively, compared with July, the brokerage said.
Jefferies said the deadline for responses to Sebi's consultation paper is October 3, 2026. It expects implementation of the proposed changes could take place later in October or November.
Jefferies remains cautious on BSE
Despite the proposed changes, Jefferies maintained its 'Underperform' rating on BSE with a target price of Rs 2,940. The brokerage said its stance reflects limited growth in the overall options industry over the past two years and its view that BSE's market-share gains may be nearing a ceiling, with expiry-day Sensex and Nifty ADTO now similar.
Jefferies also said tighter Reserve Bank of India (RBI) norms on bank guarantees could adversely affect premium turnover by up to 10 per cent over the next year. It added that BSE could potentially undergo a management transition by June 2027.
Groww preferred
Jefferies maintained a 'BUY' rating on Billionbrains Garage Ventures (Groww) with a target price of Rs 240. The brokerage said Groww could also benefit from the resolution of CAS-related issues, with futures and options (F&O) accounting for around 55 per cent of its revenue.
It expects Groww's broking business to grow 18 per cent, supported by client vintage and market-share gains, while new initiatives such as margin trading facility and wealth management could provide additional growth drivers.
Jefferies also noted that Groww plans to add US stocks later in FY27. It estimates this could contribute 5-9 per cent to FY28 earnings.