SPAN Margin Calculation: How Indian Exchanges Determine Margin Requirements
Understanding SPAN Margin
SPAN (Standard Portfolio Analysis of Risk) is the margin methodology used by Indian exchanges including NSE, BSE, and MCX to calculate margin requirements for derivative positions. SPAN evaluates the worst-case portfolio loss under 16 different market scenarios and sets the margin requirement accordingly.
How SPAN Works
Risk Arrays
Exchanges publish risk arrays that define how each contract’s value changes under different price and volatility scenarios. These arrays are updated multiple times during each trading session as market conditions change. TalkOffice applies the latest SPAN risk arrays in real time to ensure margin calculations are always current.
Portfolio-Based Calculation
SPAN calculates margins on a portfolio basis, considering offsetting positions. If a client holds a long futures position hedged with a protective put option, SPAN recognizes the reduced risk and calculates a lower aggregate margin than the sum of individual position margins.
Scanning Risk
The scanning risk component evaluates portfolio value changes under different price movements (up and down) and volatility shifts (increase and decrease). The worst-case loss across all scenarios becomes the base margin requirement.
SPAN Margin in TalkOffice
TalkOffice computes SPAN margins in real time for every derivative position across NSE, BSE, and MCX. The system applies exchange-published risk parameters and updates margin requirements as SPAN files are refreshed throughout the trading session. This ensures that client margin adequacy is always assessed against current market conditions.
Combined with exposure margin tracking and peak margin reporting, TalkOffice provides complete margin compliance automation for Indian brokerages.