Description
NSE Clearing Limited revises Volatility Scan Range (VSR) percentages applicable for May 2026 for six commodity derivatives including Copper, Gold, Silver, Zinc, Crude Oil, and Natural Gas.
Summary
NSE Clearing Limited has announced the Volatility Scan Range (VSR) values applicable for May 2026 for option contracts in the Commodity Derivatives Segment. This circular (Ref. No. 0136/2026) continues the practice established under SEBI circular SEBI/HO/CDMRD/DRMP/CIR/P/2021/08 dated January 11, 2021, and supersedes the previous circular 0102/2026 dated March 13, 2026.
Key Points
- VSR values are revised monthly and apply to option contracts in the Commodity Derivatives Segment
- Six commodities (and their variants) are covered for May 2026
- CRUDEOIL carries the highest VSR at 33%, reflecting significant price volatility expectations
- SILVER has a VSR of 6%, slightly higher than base metals
- COPPER, GOLD, and ZINC share the same VSR of 5%
- NATURALGAS VSR is set at 6%
- VSR directly impacts the margin (SPAN) calculations for option positions
Regulatory Changes
The updated VSR values for May 2026 are as follows:
| Commodity | Applicable VSR (%) |
|---|---|
| COPPER | 5 |
| GOLD | 5 |
| SILVER | 6 |
| ZINC | 5 |
| CRUDEOIL | 33 |
| NATURALGAS | 6 |
These values apply to all variants of the listed commodities.
Compliance Requirements
- All members of NSE Clearing Limited trading commodity derivatives options must take note of and apply the updated VSR values for May 2026
- Members should ensure their risk and margin systems are updated to reflect the new VSR values before the May 2026 contract period begins
- No action form submission is required; this is an informational circular for operational readiness
Important Dates
- Circular Date: April 15, 2026
- Applicable Period: May 2026
- Previous Circular Reference: Circular No. 0102/2026 (NCL/COM/73268) dated March 13, 2026
- Underlying SEBI Circular: SEBI/HO/CDMRD/DRMP/CIR/P/2021/08 dated January 11, 2021
Impact Assessment
The revised VSR values will affect margin requirements for members holding option positions in the listed commodities. The notably high VSR of 33% for CRUDEOIL signals elevated expected volatility and will result in significantly higher margin obligations for crude oil option positions compared to other commodities. Members with concentrated positions in CRUDEOIL options should review their margin utilisation ahead of May 2026. The VSR values for other commodities (5–6%) remain moderate and broadly consistent with prior months, indicating stable volatility expectations for metals and natural gas.
Impact Justification
Routine monthly VSR update affecting margin requirements for commodity derivatives option traders. Notable for CRUDEOIL's high VSR of 33%, reflecting elevated volatility expectations. Operationally significant for members trading options in these six commodities.