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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 pairsMinimum percentage of underlying Price
USDINR1.50%
EURINR2.15%
GBPINR2.25%
JPYINR2.65%
EURUSD2.50%
GBPUSD2.50%
USDJPY2.50%


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:

 
ProductCalendar spread charge for spreads in months (INR)
1 month2 months3 months4 months or more
USDINR5006009001100
EURINR750105015501550
GBPINR1575187520752075
JPYINR675107515751575
EURUSD1600190021002200
GBPUSD1600190021002200
USDJPY1600190021002200