The NSE Clearing Limited (NCL), on December 15, 2025, issued a non-confidential circular in the Commodity Derivatives Segment reviewing the Volatility Scan Range (VSR) applicable to option contracts. This circular has been issued in continuation of NCL Circular No. 0361/2025 dated November 14, 2025 and in accordance with SEBI Circular dated January 11, 2021, which provides the regulatory framework for periodic review of VSR in commodity options.
The revised VSR values shall be applicable for the month of January 2026 and will apply to the specified commodities along with their respective variants. The notified VSR percentages are: Copper – 5%, Gold – 4%, Silver – 6%, Zinc – 6%, Crude Oil – 33%, and Natural Gas – 6%, reflecting the risk and volatility profile of each underlying commodity.
Members of the Commodity Derivatives Segment have been advised to take due note of the revised VSR parameters and ensure appropriate risk management, margining, and compliance systems are aligned with the updated scan ranges before their applicability in January 2026.
[Notification No. NCL/COM/71801]
