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SPAN Margin Calculator!

Margin calculator to calculate the span margins required for trades made in the NSE - derivatives segment or NSE - currency derivatives segment.

Explore span margin calculator

The SAMCO SPAN Margin calculator is the first online trading tool in India that let's you calculate comprehensive span margin requirements for option writing/shorting or for multi-leg F&O strategies while trading equity, F&O, commodity and currency before taking a trade. No more taking trades just to figure out the margin that will be blocked!

The SPAN Margin calculates the span margin and the exposure margin required by the exchanges based on volatility, underlying price movements amongst other factors. The Exposure Margin is usually levied as a percentage of the Value of the Contract in addition to the SPAN Margin.

Users can use this calculator as an NSE Margin Calculator to calculate the span margins required for trades made on the NSE - Derivatives Segment or NSE - Currency Derivatives Segment.

Buying options require the full premium to be paid upfront and no margins are collected for the same. Hence premium values to buy options don't show up in the below F&O margin calculator.

Segment

Product

Underlying

Expiry

Quantity

Combined Margin Requirements

SPAN Margin 0

Exposure Margin 0

Spread Margin Benefit 0

Total Margin Requirement 0

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FAQ’s

Q
What is a margin calculator?
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A
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.
Q
How should you use the margin calculator?
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A
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.
Q
What is SPAN and SPAN Margin?
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A

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.

Q
What is exposure margin?
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A

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.

Q
What is spread benefit?
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A
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.
Q
Who collects SPAN and exposure margin?
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A
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.
Q
How can span margins be paid?
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A

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.

Q
Why are margins for hedged portfolios lower?
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A
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.
Q
How and why do SPAN margins change?
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A
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.
Q
What are the parameters used for computing SPAN Margins?
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A
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)

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