SPAN Risk Parameters
For the purpose of SPAN Margin, NSE CLEARING specifies various parameters from time to time:
|Index Futures||Index Options||Futures on Individual Securities||Options on Individual Securities|
|Price scan range||Three standard deviations (3 sigma). Min. margin percentage is 7.1%.||Three standard deviations (3 sigma)||Three & a half standard deviations (3.5 sigma). Min. margin percentage is 10.7%.||Three & a half standard deviations (3.5 sigma)|
|Volatility scan range||4%||4%||10%||10%|
|Short Option Minimum Charge||3% of the notional value* of all short index option positions||7.5% of the notional value* of all short index option positions|
* Notional value, with respect to an option contract, is computed as the product of the short open position in that option contract multiplied by the previous day's closing price of the underlying security, or such other price as may be specified by NSE CLEARING from time to time.
Calendar Spread Charge
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.