Description

NSE Clearing updates Volatility Scan Range (VSR) percentages for commodity option contracts effective January 2026, with ranges from 4% to 33% across six commodities.

Summary

NSE Clearing Limited has announced the revised Volatility Scan Range (VSR) percentages applicable to option contracts in the Commodity Derivatives Segment for January 2026. The VSR affects margin calculations for six commodities: Copper (5%), Gold (4%), Silver (6%), Zinc (6%), Crude Oil (33%), and Natural Gas (6%). This is a continuation of the periodic VSR review process as per SEBI circular SEBI/HO/CDMRD/DRMP/CIR/P/2021/08 dated January 11, 2021.

Key Points

  • VSR updates effective for January 2026
  • Six commodities and their variants covered under this review
  • Crude Oil has the highest VSR at 33%, significantly higher than other commodities
  • Gold has the lowest VSR at 4%
  • Silver and Zinc both set at 6% VSR
  • Copper set at 5% VSR
  • Natural Gas set at 6% VSR
  • This is a periodic review conducted monthly

Regulatory Changes

This circular continues the implementation of SEBI’s framework for periodic review of Volatility Scan Range in commodity derivatives, as mandated by SEBI circular SEBI/HO/CDMRD/DRMP/CIR/P/2021/08 dated January 11, 2021. The VSR is a critical component of the SPAN (Standard Portfolio Analysis of Risk) margin system used for determining margin requirements.

Compliance Requirements

  • All members of NSE Clearing Limited must take note of the updated VSR percentages
  • Members must ensure their margin calculation systems reflect the new VSR values for January 2026
  • The revised VSR will be used in calculating initial margins for option positions in the specified commodities
  • Members should update their risk management systems and client communication accordingly

Important Dates

  • Circular Date: December 15, 2025
  • Effective Period: January 2026
  • Previous Circular: November 14, 2025 (Circular no. 0361/2025, Download Ref no NCL/COM/71291)

Impact Assessment

Market Impact: The VSR directly affects margin requirements for commodity options traders. Higher VSR percentages result in higher margin requirements, while lower VSR reduces capital requirements.

Operational Impact:

  • Crude Oil’s 33% VSR indicates high volatility expectations and will require substantially higher margins compared to other commodities
  • Gold traders will benefit from the lowest margin requirement at 4% VSR
  • Members must update their risk management and margin collection systems before January 2026

Trading Impact: The significant difference in VSR between Crude Oil (33%) and other commodities (4-6%) reflects differing volatility characteristics and may influence trading strategies and position sizing decisions by market participants.

Impact Justification

Regular monthly VSR review affecting margin requirements for commodity derivatives traders. Material changes in crude oil VSR (33%) require attention, but this is a routine operational update.