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Review of Volatility Scan Range (VSR) for Option contracts in Commodity Derivatives Segment - SEBI - SEBI/HO/CDMRD/DRMP/CIR/P/2021/08

Extract

..... ow: “Exchanges shall fix prudent price scan range, volatility scan range and/or plausible changes in any other parameters impacting options price. Exchange shall impose appropriate short option minimum margin, calendar spread charge and extreme loss margin for option contracts.” Further, SEBI vide circular No. SEBI/HO/CDMRD/DMP/CIR/P/2020/05 dated January 16, 2020 on ‘Option on Goods’ advised Clearing Corporations (CCs), inter alia, to fix prudent VSR. 2. In light of the .....

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Review of Volatility Scan Range (VSR) for Option contracts in Commodity Derivatives Segment - SEBI

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..... f the following month. 6. The back testing shall be done by using appropriate models to extract volatility (such as EWMA (Exponentially Weighted Moving Average) volatility of the underlying futures contract, implied volatility of options, etc.) over the relevant MPOR (Margin Period of Risk) period. 7. The circular shall be effective from the first trading day of the month of April 01, 2021. 8. This circular is issued in exercise of the powers conferred under Section 11 (1) of the Securities and .....

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Review of Volatility Scan Range (VSR) for Option contracts in Commodity Derivatives Segment - SEBI

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