Description

NSE Clearing updates Volatility Scan Range (VSR) percentages for commodity option contracts effective November 2025, covering copper, gold, silver, zinc, crude oil, and natural gas.

Summary

NSE Clearing Limited has announced the revised Volatility Scan Range (VSR) percentages applicable for option contracts in the Commodity Derivatives Segment for November 2025. The VSR is a critical risk parameter used in calculating margin requirements for options trading. This circular updates VSR values for six key commodities and their variants: Copper (5%), Gold (4%), Silver (6%), Zinc (6%), Crude Oil (33%), and Natural Gas (6%).

Key Points

  • VSR updates are effective for November 2025
  • Copper VSR set at 5%
  • Gold VSR set at 4% (lowest among listed commodities)
  • Silver VSR set at 6%
  • Zinc VSR set at 6%
  • Crude Oil VSR set at 33% (significantly higher, reflecting higher volatility)
  • Natural Gas VSR set at 6%
  • VSR applies to commodities including their variants
  • Circular continues framework from SEBI circular SEBI/HO/CDMRD/DRMP/CIR/P/2021/08 dated January 11, 2021
  • Previous circular reference: 0285/2025 (NCL/COM/70182) dated September 15, 2025

Regulatory Changes

This is a routine monthly review as per SEBI’s framework for volatility scan range adjustments. The VSR is part of the SPAN (Standard Portfolio Analysis of Risk) margin system used to calculate margins for commodity derivatives. The notably high VSR of 33% for Crude Oil reflects increased volatility expectations or historical volatility patterns for this commodity.

Compliance Requirements

  • All members of NSE Commodity Derivatives Segment must implement the updated VSR percentages
  • Members must ensure margin calculation systems are updated to reflect new VSR values for November 2025
  • Risk management systems should be configured with the specified VSR parameters
  • Members should factor these VSR changes into their margin collection from clients trading commodity options

Important Dates

  • Circular Date: October 15, 2025
  • Effective Period: November 2025
  • Reference Previous Circular: September 15, 2025 (circular no. 0285/2025)
  • Original SEBI Framework: January 11, 2021 (SEBI/HO/CDMRD/DRMP/CIR/P/2021/08)

Impact Assessment

Trading Impact: The VSR directly affects margin requirements for options traders. Higher VSR percentages result in higher margin requirements, which can impact trading strategies and capital deployment. Crude Oil’s 33% VSR is particularly significant and may require substantially higher margins compared to other commodities.

Risk Management: The differentiated VSR across commodities reflects varying volatility profiles. Traders and clearing members must adjust their risk management practices accordingly, especially for high-VSR commodities like Crude Oil.

Market Participants: Option writers and buyers in commodity derivatives will see their margin requirements adjusted based on these new VSR values. The high crude oil VSR may influence trading volumes and open interest in crude oil options.

Operational Impact: Members must update their risk management and margin calculation systems before the start of November 2025 to ensure compliance with the new VSR parameters.

Impact Justification

Routine monthly update of VSR parameters affecting margin requirements for commodity options traders. Notable increase in crude oil VSR to 33% indicates higher volatility expectations.