Description

NSE Clearing Limited revises Volatility Scan Range (VSR) percentages for option contracts in the Commodity Derivatives Segment effective April 2026, covering six key commodities including Copper, Gold, Silver, Zinc, Crude Oil, and Natural Gas.

Summary

NSE Clearing Limited has announced the applicable Volatility Scan Range (VSR) percentages for option contracts in the Commodity Derivatives Segment for the month of April 2026. This circular is issued in continuation of circular no. 0069/2026 dated February 13, 2026, and in reference to SEBI circular SEBI/HO/CDMRD/DRMP/CIR/P/2021/08 dated January 11, 2021. The revised VSR values will govern margin calculations for six commodities and their variants.

Key Points

  • VSR for April 2026 has been set for six commodities and their variants
  • Copper: 5% VSR
  • Gold: 5% VSR
  • Silver: 6% VSR
  • Zinc: 5% VSR
  • Crude Oil: 33% VSR (significantly higher due to inherent price volatility)
  • Natural Gas: 6% VSR
  • The VSR is used in the SPAN margining system to determine the margin requirements for option contracts

Regulatory Changes

This circular updates the VSR applicable for April 2026 in accordance with SEBI’s framework for periodic review of VSR for commodity derivative option contracts (SEBI/HO/CDMRD/DRMP/CIR/P/2021/08 dated January 11, 2021). The VSR values may differ from those applicable in March 2026 (set by circular 0069/2026 dated February 13, 2026).

Compliance Requirements

  • All members of NSE Clearing Limited trading in Commodity Derivatives Segment must take note of the revised VSR values
  • Members should update their risk and margin calculation systems to reflect the new VSR percentages effective April 2026
  • The revised VSRs apply to all option contracts on the listed commodities and their variants

Important Dates

  • Circular Date: March 13, 2026
  • Effective Period: April 2026
  • Previous Reference Circular: 0069/2026 dated February 13, 2026

Impact Assessment

The revised VSR values directly affect the margin requirements for trading option contracts in the Commodity Derivatives Segment. Crude Oil’s notably high VSR of 33% reflects its historically high price volatility and will result in higher margin requirements for Crude Oil options. Members with open positions or planning to trade options in these commodities during April 2026 should anticipate potential changes in margin obligations. The update is a routine regulatory measure to align margin requirements with current market volatility conditions.

Impact Justification

Routine monthly VSR revision affecting margin requirements for commodity derivatives option contracts. Impacts members trading in six major commodities but follows established regulatory framework under SEBI circular from January 2021.