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SPAN Risk Parameter Files


For the purpose of SPAN Margin, NSE Clearing specifies various parameters from time to time:

 

Index Derivatives 

Index Options with residual maturity of  more than 9 months 

Stock Derivatives 

Price Scan Range 

Six standard deviations (6 sigma) scaled up by √2 subject to 9.3% of underlying price. 

Six standard deviations (6 sigma) scaled up by √2 subject to 17.7% of underlying price. 

Six standard deviations (6 sigma) scaled up by √2 subject to 9.3% of underlying price. 

Volatility Scan Range 

25% of annualized EWMA volatility subject to minimum 4% 

25% of annualized EWMA volatility subject to minimum 4% 

25% of annualized EWMA volatility subject to minimum 10% 


The Calendar Spread Charge in respect of various products is as follows: 

Product 

Calendar Spread Charge 

Index Derivatives

1.75% of the far month contract 

Stock Derivatives 

2.2% of the far month contract 


The margin on calendar spread shall be calculated on the basis of delta of the portfolio consisting of futures and options contracts in each month. A calendar spread position will be granted calendar spread treatment till the expiry of the near month contract.

The margin on calendar spread shall be calculated on the basis of delta of the portfolio consisting of futures and options contracts in each month.
A Calendar spread position will be granted calendar spread treatment till the expiry of the near month contract.

Net Option Value

Net Option Value is computed as the difference between the Long Option positions and the Short Option positions, valued at the last available closing price of the relevant option contract.

Updated on: 17/02/2021
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