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

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..... Review of Volatility Scan Range (VSR) for Option contracts in Commodity Derivatives Segment 1. SEBI vide circular No. SEBI/HO/CDMRD/DMP/CIR/P/2017/55 dated June 13, 2017 regarding Option on Futures inter alia advised Exchanges to fix and determine the volatility scan range (VSR) values as below: Exchanges shall fix prudent price scan range, volatility scan range and/or plausible chan .....

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..... their volatility viz, high, medium and low as categorised in SEBI circular No. SEBI/HO/CDMRD/ DRMP/CIR/P/2020/15 dated January 27, 2020. 4. The VSR in respect of various categories of commodities shall be subject to following minimum values: Volatility Category Minimum VSR % Non Agri commodities Minimum VSR % Agri Commo .....

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..... fective 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 Exchange Board of India Act, 1992 , to protect the interests of investors in securities and to promote the development of, and to regulate the securities market. 9. This circular is available on SEBI website at www.seb .....

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