Description

ICCL updates margin requirements for commodity derivatives including revised minimum initial margin, short option minimum margin, and volatility scan ranges effective October 1, 2025.

Summary

ICCL has reviewed and updated the margin framework for commodity derivatives segment based on SEBI guidelines. The circular revises minimum Initial Margin percentages, Short Option Minimum Margin percentages, Margin Period of Risk (MPOR), and Volatility Scan Range for various commodities categorized by volatility.

Key Points

  • Gold (Low Volatility): 6% minimum IM and SOMM, 2-day MPOR, 4% VSR
  • Silver (High Volatility): 10% minimum IM and SOMM, 3-day MPOR, 6% VSR
  • Brent Crude and WTI Crude: Special risk measures with 33% minimum IM, SOMM, and VSR
  • Minimum IM percentages will not be scaled up by MPOR
  • Option contracts require MPOR of at least 2 days or corresponding futures MPOR, whichever is higher
  • All existing additional margins continue to apply

Regulatory Changes

  • Updated commodity categorization based on volatility (High/Low)
  • Revised minimum Initial Margin percentages ranging from 6% to 33%
  • Modified Short Option Minimum Margin requirements
  • Adjusted Volatility Scan Range parameters
  • Enhanced risk management measures specifically for crude oil contracts

Compliance Requirements

  • All members and participants must implement the revised margin framework
  • Margin calculations must follow the new minimum percentages and MPOR requirements
  • Option sellers subject to higher of SOMM or VaR scaled by MPOR
  • Continued compliance with existing additional margin requirements

Important Dates

  • Effective Date: October 1, 2025 (begin of day)
  • Reference Circulars: SEBI/HO/CDMRD/DRMP/CIR/P/2020/15 (Jan 27, 2020), SEBI/HO/CDMRD/DRMP/CIR/P/2021/08 (Jan 11, 2021)
  • Modified Circular: ICCL Circular No. 20250306-22 (Mar 6, 2025)

Impact Assessment

This framework revision significantly impacts commodity derivatives trading by establishing differentiated margin requirements based on volatility categories. Market participants trading high-volatility commodities like crude oil and silver will face substantially higher margin requirements (up to 33% for crude oil), while gold traders benefit from lower 6% margins. The changes enhance risk management but may affect position sizing and trading strategies across commodity segments.

Impact Justification

Updates fundamental margin requirements for commodity derivatives trading affecting all market participants