Volatility Scan Range mandated: exchanges must adopt minimum VSRs by commodity class and conduct monthly backtesting and adjustments. Prescribes minimum Volatility Scan Range (VSR) thresholds for option contracts by volatility category and commodity type; requires clearing corporations to backtest VSR monthly using three years' data, employing appropriate volatility estimation models (such as EWMA and implied volatility) over the relevant Margin Period of Risk; changes identified by the 15th must be implemented from the first trading day of the following month; circular effective from the first trading day of April and issued under SEBI's regulatory powers.
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Provisions expressly mentioned in the judgment/order text.
Volatility Scan Range mandated: exchanges must adopt minimum VSRs by commodity class and conduct monthly backtesting and adjustments.
Prescribes minimum Volatility Scan Range (VSR) thresholds for option contracts by volatility category and commodity type; requires clearing corporations to backtest VSR monthly using three years' data, employing appropriate volatility estimation models (such as EWMA and implied volatility) over the relevant Margin Period of Risk; changes identified by the 15th must be implemented from the first trading day of the following month; circular effective from the first trading day of April and issued under SEBI's regulatory powers.
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