Description
Updated VSR percentages for commodity option contracts effective September 2025, including COPPER (5%), GOLD (4%), SILVER (6%), ZINC (6%), CRUDEOIL (33%), and NATURALGAS (6%).
Summary
NSE Clearing Limited has announced the updated Volatility Scan Range (VSR) percentages for commodity option contracts applicable for September 2025. The VSR is a risk management parameter used for margin calculations on option contracts in the commodity derivatives segment.
Key Points
- VSR update applies to six major commodities and their variants
- COPPER: 5% VSR (no change indicated)
- GOLD: 4% VSR (lowest among listed commodities)
- SILVER: 6% VSR
- ZINC: 6% VSR
- CRUDEOIL: 33% VSR (highest due to energy commodity volatility)
- NATURALGAS: 6% VSR
- Continues implementation of SEBI circular dated January 11, 2021
Regulatory Changes
This is a routine monthly review and update of VSR parameters as per SEBI regulations. The VSR percentages reflect the expected volatility and risk assessment for each commodity category.
Compliance Requirements
- All NSE members must take note of the updated VSR percentages
- VSR parameters will be applied to margin calculations for September 2025 option contracts
- Members should adjust their risk management systems accordingly
Important Dates
- Effective Date: September 2025 (for option contracts in that month)
- Circular Date: August 14, 2025
- Reference Period: Monthly review cycle
Impact Assessment
The updated VSR percentages will directly impact margin requirements for commodity option trading. CRUDEOIL maintains the highest VSR at 33%, reflecting the inherent volatility in energy markets, while GOLD has the lowest at 4%, indicating relatively stable price movements. These parameters affect trader capital requirements and position limits in the commodity derivatives segment.
Impact Justification
Regular monthly VSR update affecting commodity options trading margins and risk parameters