Description
NSE Clearing Limited announces revised Volatility Scan Range (VSR) percentages for option contracts in the Commodity Derivatives Segment applicable for June 2026, covering six major commodities.
Summary
NSE Clearing Limited has announced the applicable Volatility Scan Range (VSR) for option contracts in the Commodity Derivatives Segment for the month of June 2026. This circular is issued in continuation of circular no. 0136/2026 dated April 15, 2026, and in reference to SEBI circular SEBI/HO/CDMRD/DRMP/CIR/P/2021/08 dated January 11, 2021. The VSR determines the margin requirements for commodity option contracts.
Key Points
- VSR for June 2026 is applicable to six commodities and their variants
- Copper VSR: 5%
- Gold VSR: 5%
- Silver VSR: 6%
- Zinc VSR: 5%
- Crude Oil VSR: 30% (significantly higher due to energy price volatility)
- Natural Gas VSR: 6%
- Crude Oil carries the highest VSR at 30%, reflecting elevated volatility expectations in energy markets
Regulatory Changes
This is a periodic review of VSR in accordance with SEBI circular SEBI/HO/CDMRD/DRMP/CIR/P/2021/08 dated January 11, 2021, which established the framework for reviewing VSR for commodity derivative option contracts. The current update supersedes the previous month’s VSR values set in circular 0136/2026 (NCL/COM/73741) dated April 15, 2026.
Compliance Requirements
- All members of NSE Clearing Limited in the Commodity Derivatives Segment must take note of the updated VSR values
- Members must ensure their risk and margin systems are updated to reflect the June 2026 VSR percentages
- Margin calculations for commodity option contracts must incorporate the revised VSR values effective June 2026
Important Dates
- Circular Date: May 15, 2026
- Effective Period: June 2026
- Reference Circular: 0136/2026 dated April 15, 2026 (previous month’s VSR)
Impact Assessment
The VSR values directly affect margin requirements for members trading commodity option contracts. Crude Oil’s exceptionally high VSR of 30% reflects ongoing energy market volatility and will require significantly higher margins for crude oil option positions. Base metals (Copper, Zinc) and Gold have lower VSRs at 5%, indicating relatively lower expected volatility. Members with large open positions in Crude Oil options will face the highest margin impact. This is a routine monthly update and does not represent a structural change to the market framework.
Impact Justification
Routine monthly VSR update affecting margin requirements for commodity derivatives traders. Impacts members trading options in six major commodities but represents a standard regulatory review rather than a major structural change.