Description

NSE Clearing updates Volatility Scan Range percentages for commodity option contracts effective December 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 December 2025. This update continues the regular monthly review process as per SEBI circular SEBI/HO/CDMRD/DRMP/CIR/P/2021/08 dated January 11, 2021. The VSR determines the price scan range used for margin calculations on commodity options.

Key Points

  • VSR update applicable for December 2025 effective date
  • Covers six major commodities and their variants: Copper, Gold, Silver, Zinc, Crude Oil, and Natural Gas
  • Crude Oil has the highest VSR at 33%, reflecting higher volatility
  • Gold has the lowest VSR at 4%, indicating lower volatility expectations
  • Continuation of monthly review process as per SEBI guidelines
  • Previous circular reference: 330/2025 dated October 15, 2025

Regulatory Changes

No new regulatory framework changes. This circular implements the existing SEBI framework for monthly VSR reviews established in January 2021. The VSR percentages are reviewed and updated monthly based on market volatility patterns.

Compliance Requirements

  • All Members: Must take note of the updated VSR percentages
  • Risk Management Systems: Update margin calculation systems to reflect new VSR values for December 2025
  • Applicable Commodities and VSR:
    • Copper: 5%
    • Gold: 4%
    • Silver: 6%
    • Zinc: 6%
    • Crude Oil: 33%
    • Natural Gas: 6%
  • Members should adjust their risk management and margin collection processes accordingly

Important Dates

  • Circular Date: November 14, 2025
  • Applicable Period: December 2025
  • Reference Circular: 330/2025 dated October 15, 2025
  • SEBI Guideline Reference: January 11, 2021

Impact Assessment

Market Impact: The VSR directly affects margin requirements for option contracts in commodity derivatives. Higher VSR percentages require higher margins, which may impact trading volumes and liquidity. Crude Oil’s 33% VSR significantly exceeds other commodities, reflecting elevated volatility expectations in energy markets.

Operational Impact: Trading members need to update their risk management systems and inform clients about potential changes in margin requirements. The variance in VSR across commodities (ranging from 4% for Gold to 33% for Crude Oil) means differential impact on traders across commodity segments.

Financial Impact: Changes in VSR affect capital deployment for option trading strategies. The substantial VSR for Crude Oil options may require traders to maintain significantly higher margins compared to precious metals options.

Impact Justification

Monthly VSR update affects margin requirements for commodity option traders but follows established review process per SEBI guidelines