The National Stock Exchange (NSE) on May 15, 2026, issued a circular reviewing the Volatility Scan Range (VSR) applicable for option contracts in the Commodity Derivatives Segment for the month of June 2026. The circular has been issued in continuation of Circular No. 0136/2026 dated April 15, 2026, and pursuant to the Securities and Exchange Board of India (SEBI) circular dated January 11, 2021 on review of VSR for commodity derivatives option contracts.
Under the revised framework, NCL has prescribed commodity-wise applicable VSR percentages for June 2026 covering commodities and their variants. The notified VSR percentages are 5% for Copper, Gold, and Zinc option contracts, 6% for Silver and Natural Gas option contracts, and 30% for Crude Oil option contracts.
The revised VSR mechanism will apply to all relevant commodity option contracts and their variants in the Commodity Derivatives Segment. Members have been advised to take note of the revised volatility parameters for margining and risk management purposes.
[Circular Ref. No. 0712/2026]
