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

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..... (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 changes in any other parameters impacting o .....

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..... tegorised 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 Commodities Low 4 5 Medium 5 6 High 6 7 5. CCs (providing clearing and settlement for options) shall review the valu .....

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