F&O Span Margin Calculator - Calculate Your Trading Margin | Samco (2024)

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Every time a trader initiates a trade, “a margin amount” is blocked by the exchanges as a collateral for the trade till such time that there is an open position. The SPAN margin calculator helps traders compute the margin required for initiating a trade in the NSE equity derivatives/MCX/NSE Currency derivatives segments before actually taking the trade.

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Add the contracts with the expiry and quantity that you’d like to trade and click on Add. You can add multiple contracts in case of a multi-legged strategy and the combined margin requirement for the portfolio shall be computed. To clear and add new a strategy, click on reset.

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SPAN is an acronym for Standard Portfolio Analysis of Risk and is computed by the exchanges clearing corporation.SPAN Margin is the up-front margin that is collected by the exchanges at the time of initiating a trade. It is a portfolio-based margining system.

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Exposure margin is an additional margin levied by the exchanges on the value of the open positions of a client. This is levied over and above the SPAN Margin.

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If a trader initiates a strategy with certain hedged positions and thereby reduces the overall portfolio risk due to the hedge, then in such cases, the margin levied for the portfolio is lower than what would have been the margin as a simple sum of all standalone positions. Simply put, spread benefit is the benefit of lower margins due to reduction of risk at a portfolio level.

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The margins for positions initiated by traders have to be collected up front by the broker and in turn paid to the exchanges clearing corporation.

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All margins including span margin can be paid by customers using a combination of cash and approved securities. For the complete list of approved securities and their corresponding haircut, please check SAMCO’s StockPlus product.

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In several hedged strategies, the payoff is such that the loss is limited and, in such cases, if full margins are charged then there would be excess levy of margins. To solve for this, for hedged positions, exchanges grant spread benefit and reduce the margins required. For eg. If a customer initiates a call spread strategy where he’s bought Call of Strike price 100 and sold call of Strike price 110, in such a case, there is no portfolio risk for the client and therefore spread benefit is given and the margin for such a hedged portfolio is significantly lower.

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The single biggest factor impacting margins is volatility. When there are large swings in prices, the SPAN margins are revised upwards and once volatility subsides, margins gradually reduce back to floor levels.

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For NSE derivatives - Volatility is considered at 0.995 λ ; Volatility scan is considered as 25% of volatility subject to minimum of 4% (for index derivatives) and 10% (for stock derivatives) ; ELM is considered at 2% (for index derivatives) and 3.5% (for stock derivatives)