Spot Market – Closing Price Methodology
For Spot Contracts, the Closing Price is determined using the following waterfall methodology:
| Tier 1 | Volume Weighted Average Price (VWAP) of trades executed during the last 30 minutes of trading, subject to a minimum of 10 trades. |
| Tier 2 | If fewer than 10 trades occur during the last 30 minutes, Closing Price shall be the VWAP of the last 10 trades. |
| Tier 3 | If the last 10 trades are not available, Closing Price shall be the VWAP of the last 5 trades. |
| Tier 4 | If fewer than 5 trades are available, the Last Traded Price (LTP) of the day shall be considered as Closing Price. |
| Tier 5 | If no trade occurs during the day, a reference spot price from other markets may be considered for determination of Closing Price. |
Futures Market – Daily Settlement Price Methodology
For Futures Contracts, Daily Settlement Price is determined through a structured multi-tier methodology designed to ensure continuity of settlement and market valuation.
| Tier 1 | Volume Weighted Average Price (VWAP) of trades executed during the last 30 minutes, subject to a minimum of 10 trades, rounded to the nearest tradable tick. |
| Tier 2 | If fewer than 10 trades occur during the last 30 minutes, Daily Settlement Price shall be the VWAP of the last 10 trades, rounded to nearest tradable tick. |
| Tier 3 | If fewer than 10 trades occur during the day, Daily Settlement Price shall be the VWAP of all trades during the day, subject to a minimum of 5 trades. |
| Tier 4 | If fewer than 5 trades occur during the day, Daily Settlement Price may be interpolated or extrapolated using Spot Prices and/or prices of other Futures Contracts, provided at least one Futures Contract price is determined through Tier 1 to Tier 3 |
| Tier 5 | Where settlement prices cannot be derived under earlier tiers, the percentage change in Spot Price from the previous trading day may be applied to the previous day’s Settlement Price to derive settlement prices across Futures Contracts. |
| Tier 6 | Where sufficient market activity is unavailable for application of the above methods, other available market information, historical data and reference prices may be used to determine an appropriate settlement price. |
Pricing Objectives
The Closing Price and Settlement Price methodologies are designed to support:
• Transparent price determination
• Fair and orderly settlement
• Market continuity during varying liquidity conditions
• Consistent valuation framework
• obust post-trade processing
Important Note : Detailed methodology and operational parameters shall be governed by applicable Exchange circulars, contract specifications and clearing procedures.