Description
NSE updates Volatility Scan Range (VSR) percentages for commodity option contracts effective February 2026, with rates ranging from 4% to 33% across six commodities.
Summary
NSE Clearing Limited has announced the updated Volatility Scan Range (VSR) parameters for option contracts in the Commodity Derivatives Segment, applicable for February 2026. The VSR ranges from 4% for Gold to 33% for Crude Oil across six commodity groups including their variants. This circular is part of the periodic review mechanism mandated by SEBI.
Key Points
- VSR update applicable for February 2026 across six commodity categories
- Copper: 5% VSR
- Gold: 4% VSR (lowest)
- Silver: 6% VSR
- Zinc: 6% VSR
- Crude Oil: 33% VSR (highest)
- Natural Gas: 6% VSR
- Circular references SEBI guidelines SEBI/HO/CDMRD/DRMP/CIR/P/2021/08 dated January 11, 2021
- Continuation of previous circular 0392/2025 dated December 15, 2025
Regulatory Changes
This represents a routine periodic review of VSR parameters as mandated by SEBI circular SEBI/HO/CDMRD/DRMP/CIR/P/2021/08. The VSR directly impacts the SPAN (Standard Portfolio Analysis of Risk) margin calculation for commodity option contracts. The significant 33% VSR for Crude Oil reflects higher volatility expectations in energy markets compared to precious and base metals.
Compliance Requirements
- All members trading commodity options must implement the updated VSR parameters
- Risk management systems must be updated to reflect the new VSR values for February 2026
- Margin calculations for commodity option positions will be based on these updated parameters
- Members should ensure their systems are configured correctly before February 2026 contracts become active
Important Dates
- Circular Issue Date: January 14, 2026
- Effective Period: February 2026
- Reference to Previous Circular: December 15, 2025 (circular 0392/2025)
Impact Assessment
The updated VSR parameters will directly affect margin requirements for traders holding option positions in commodity derivatives. The 33% VSR for Crude Oil indicates significantly higher margin requirements compared to other commodities, reflecting increased volatility and risk in energy markets. Gold maintains the lowest VSR at 4%, indicating relatively stable market conditions. Members and traders should adjust their risk management strategies and capital allocation accordingly, particularly for positions in Crude Oil which carries the highest volatility expectation.
Impact Justification
Regular monthly update of risk parameters for commodity options affecting margin requirements for market participants trading these instruments