YOU ARE ON THE NEW NSE WEBSITE, ACCESS THE OLD WEBSITE ON THE URL www1.nseindia.com OR CLICK HERE
Accessibility
Feedback

Parameters


For the purpose of SPAN Margin, NSE Clearing specifies various parameters from time to time. The Price Scan Range in respect of various products is based on six standard deviations (6 sigma), subject to the minimum percentage of underlying price as tabulated below;

Currency pairs Minimum percentage of underlying Price
USDINR 1.50%
EURINR 2.15%
GBPINR 2.25%
JPYINR 2.65%
EURUSD 2.50%
GBPUSD 2.50%
USDJPY 2.50%


Volatility Scan Range

The Volatility Scan Range is 25% of annualized EWMA volatility subject to minimum 3%.

Calendar spread margin:

A currency futures position in one expiry month which is hedged by an offsetting position in a different expiry month would be treated as a calendar spread. The benefit for a calendar spread would continue till expiry of the near month contract. The calendar spread margin shall be as follows:

Product Calendar spread charge for spreads in months (INR)
1 month 2 months 3 months 4 months or more
USDINR 500 600 900 1100
EURINR 750 1050 1550 1550
GBPINR 1575 1875 2075 2075
JPYINR 675 1075 1575 1575
EURUSD 1600 1900 2100 2200
GBPUSD 1600 1900 2100 2200
USDJPY 1600 1900 2100 2200

 

Updated on: 19/02/2021
Quick Links