Review of Margin Framework for Commodity Derivatives Segment
BSE notice 20260909-1 · 09 Sept 2026
Official record
Open source pageSummary
Check the official recordWhat changed
BSECL updates the margin framework for the commodity derivatives segment. This update modifies the minimum Initial Margin, Short Option Minimum Margin, Margin Period of Risk, and Volatility Scan Range for specific commodities. The affected commodities include Crude Oil, WTI Crude, Gold, and Silver. Members and participants must apply the revised margin requirements starting from the beginning of the day on October 01, 2026. The minimum Initial Margin percentages for these commodities do not scale by the Margin Period of Risk. All other existing margin requirements, including Extreme Loss Margin and Delivery Period Margin, remain in effect. Option contract margins follow specific calculation rules based on the higher of the Short Option Minimum Margin or the Value at Risk.
What you must do
- Apply the revised minimum Initial Margin, Short Option Minimum Margin, Margin Period of Risk, and Volatility Scan Range for specified commodities.
Key dates
- Effective from
Document text
[Image omitted. See the official document.]
NOTICE
| Notice No. | 20260909-1 |
| Notice Date | 09 Sep 2026 |
| Category | Settlement/RMS |
| Segment | Commodity Derivatives |
| Department | BSECL |
| Subject | Review of Margin Framework for Commodity Derivatives Segment |
| Attachments | No Attachment |
[Image omitted. See the official document.]
To
All Members/ Participants,
This is with reference to SEBI circular No. SEBI/HO/CDMRD/DRMP/CIR/P/2020/15 dated January 27, 2020, SEBI circular no SEBI/HO/CDMRD/DRMP/CIR/P/2021/08 dated January 11, 2021 and in modification of BSECL Circular No. 20260310-8 dated March 10, 2026, BSECL has reviewed the categorization of the commodities based on guidelines stipulated by SEBI vide aforesaid circular.
The applicable minimum Initial Margin % (IM), Short Option Minimum Margin % (SOMM), minimum MPOR and minimum Volatility Scan Range (VSR) of the commodities and their variants are as follows:
| Commodity | Commodity Type | Volatility Category | Applicable Minimum IM % | Short Option Minimum Margin % (SOMM) | Applicable Minimum MPOR | Applicable Minimum VSR (%) |
|---|---|---|---|---|---|---|
| Crude Oil^ | Non- Agri | High | 10% | 10% | 3 | 6% |
| WTI Crude^ | Non- Agri | High | 10% | 10% | 3 | 6% |
| Gold | Non- Agri | Medium | 8% | 8% | 2 | 5% |
| Silver** | Non- Agri | High | 10% | 10% | 3 | 6% |
^ As per the lead exchange's revised risk management framework, WTI Crude Oil & Crude Oil contracts will now carry a Minimum Initial Margin of 30%, a SOMM of 30%, and a VSR of 30%.
** As per the lead exchange's revised risk management framework, Silver contracts will now carry a Minimum Initial Margin of 11.50%, a SOMM of 11.50%, and a VSR of 6%.
Note:
- Minimum IM % mentioned in the above table shall not be scaled up by MPOR.
- In case of Option contracts, margin period of risk (MPOR) shall be at least equal to two days or MPOR of corresponding futures contracts, whichever is higher.
- The margins levied on seller of the options shall be higher of SOMM as prescribed in the above table or VaR scaled up by MPOR of respective commodity.
- All other margins, inter alia Extreme Loss Margin, Crystallized Loss Margin, Tender Period Margin, Delivery Period Margin, Concentration Margin, Additional Margin, Additional Lean period margin and Special Margin as currently applicable shall continue.
The provisions of this circular shall be applicable from begin of day on October 01, 2026.
[Image omitted. See the official document.]
For and on behalf of BSECL
Sushant Majhi
Chief Risk Officer
| Risk Department | |
|---|---|
| risk.monitoring@bseclearing.com | |
| Contact No: | +91-022-2272 8811 / 022-2272 8614 |
Source details
- Source
- BSE Ltd (Bombay Stock Exchange)
- Type
- notice
- Published by source
- 09 Sept 2026
- Document number
- 20260909-1
- Issuing division
- BSECL
- Effective date
- 01 Oct 2026
- Coverage area
- securities