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The Securities and Exchange Board of India has announced a shift in the way expiry settlement prices will be calculated for index and stock derivatives. The change replaces the traditional closing price with a 30‑minute volume‑weighted average price (VWAP) for index contracts while retaining the current cash‑market closing price (CAS) for stocks. For quantitative traders, these adjustments alter the timing, price reference, and risk profile of expiry‑related positions. Why the VWAP Settlement Matters The new rule specifies that the settlement price for expiring index futures and options will be based on the VWAP measured from 3:30 PM to 3:40 PM, the same window during which the CAS runs....