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If derivatives on a security is suspended or discontinued, will CAS continue or revert to VWAP-based closing in equity segment?
Yes, if a security is excluded from the equity derivatives segment on both exchanges, it will no longer be eligible for the Closing Auction Session (CAS). Its closing price will then be calculated using the existing method i.e., VWAP of the last 30 minutes. Till the time the security remains part of Equity derivatives segment on any of the Exchanges, such security will remain eligible for CAS.
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