{"id":12250,"date":"2026-05-22T13:39:31","date_gmt":"2026-05-22T13:39:31","guid":{"rendered":"https:\/\/lemonn.co.in\/blog\/glossary\/span-margin\/"},"modified":"2026-05-22T13:39:31","modified_gmt":"2026-05-22T13:39:31","slug":"span-margin","status":"publish","type":"glossary","link":"https:\/\/lemonn.co.in\/blog\/glossary\/span-margin\/","title":{"rendered":"SPAN Margin"},"content":{"rendered":"<p>SPAN &#x2014; Standard <a class=\"glossaryLink\" href=\"https:\/\/lemonn.co.in\/blog\/glossary\/portfolio\/\" data-gt-translate-attributes='[{\"attribute\":\"data-cmtooltip\", \"format\":\"html\"}]' tabindex=\"0\" role=\"link\">Portfolio<\/a> Analysis of Risk &mdash; is a risk-based margin system developed by the Chicago Mercantile Exchange in 1988 and adopted by Indian exchanges for F&amp;O. Instead of using a flat percentage, SPAN simulates how a portfolio would perform under multiple market scenarios and asks for the worst-case loss as upfront margin. It is the larger of the two margin components in Indian <a class=\"glossaryLink\" href=\"https:\/\/lemonn.co.in\/blog\/glossary\/derivatives\/\" data-gt-translate-attributes='[{\"attribute\":\"data-cmtooltip\", \"format\":\"html\"}]' tabindex=\"0\" role=\"link\">derivatives<\/a>, the other being <a class=\"glossaryLink\" href=\"https:\/\/lemonn.co.in\/blog\/glossary\/exposure-margin\/\" data-gt-translate-attributes='[{\"attribute\":\"data-cmtooltip\", \"format\":\"html\"}]' tabindex=\"0\" role=\"link\">Exposure margin<\/a>.<\/p>\n<div><strong>Key takeaways:<\/strong>\n<ul>\n<li><a class=\"glossaryLink\" href=\"https:\/\/lemonn.co.in\/blog\/glossary\/span-margin\/\" data-gt-translate-attributes='[{\"attribute\":\"data-cmtooltip\", \"format\":\"html\"}]' tabindex=\"0\" role=\"link\">SPAN margin<\/a> is the risk-based component of F&amp;O margin in India.<\/li>\n<li>It runs scenarios over price and <a class=\"glossaryLink\" href=\"https:\/\/lemonn.co.in\/blog\/glossary\/volatility\/\" data-gt-translate-attributes='[{\"attribute\":\"data-cmtooltip\", \"format\":\"html\"}]' tabindex=\"0\" role=\"link\">volatility<\/a> moves and picks the worst-case loss.<\/li>\n<li>SPAN recognises hedges; spread positions get lower margin than naked ones.<\/li>\n<li>Updated daily by <a class=\"glossaryLink\"  href=\"https:\/\/lemonn.co.in\/blog\/glossary\/nse\/\"  data-gt-translate-attributes='[{\"attribute\":\"data-cmtooltip\", \"format\":\"html\"}]'  tabindex='0' role='link'>NSE<\/a> Clearing and ICCL based on market parameters.<\/li>\n<li>You can estimate SPAN using the exchange-provided SPAN calculator.<\/li>\n<\/ul>\n<\/div>\n<h2 id=\"how-span-works-under-the-hood\">How SPAN works under the hood<\/h2>\n<p>SPAN considers 16 standard risk scenarios on each <a class=\"glossaryLink\" href=\"https:\/\/lemonn.co.in\/blog\/glossary\/futures-and-options\/\" data-gt-translate-attributes='[{\"attribute\":\"data-cmtooltip\", \"format\":\"html\"}]' tabindex=\"0\" role=\"link\">futures and options<\/a> portfolio:<\/p>\n<ul>\n<li>Seven scenarios cover price up and down moves of varying magnitudes.<\/li>\n<li>Two scenarios cover extreme price up and down moves.<\/li>\n<li>Volatility up and down moves are layered on each.<\/li>\n<li>The worst total loss across these scenarios is the SPAN margin.<\/li>\n<\/ul>\n<p>This approach captures the true risk of the portfolio rather than just notional value.<\/p>\n<h2 id=\"inputs-that-affect-span\">Inputs that affect SPAN<\/h2>\n<table>\n<tr>\n<th>Input<\/th>\n<th>Why it matters<\/th>\n<\/tr>\n<tr>\n<td>Price scan range<\/td>\n<td>Maximum expected price move; set by NSE Clearing<\/td>\n<\/tr>\n<tr>\n<td>Volatility scan range<\/td>\n<td><a class=\"glossaryLink\" href=\"https:\/\/lemonn.co.in\/blog\/glossary\/implied-volatility\/\" data-gt-translate-attributes='[{\"attribute\":\"data-cmtooltip\", \"format\":\"html\"}]' tabindex=\"0\" role=\"link\">Implied volatility<\/a> change considered in scenarios<\/td>\n<\/tr>\n<tr>\n<td>Inter-month spread credit<\/td>\n<td>Recognises offset between near and far expiries<\/td>\n<\/tr>\n<tr>\n<td>Intra-spread offsets<\/td>\n<td>Used for calendar and butterfly strategies<\/td>\n<\/tr>\n<\/table>\n<h2 id=\"span-for-typical-positions\">SPAN for typical positions<\/h2>\n<ul>\n<li><strong>Long <a class=\"glossaryLink\"  href=\"https:\/\/lemonn.co.in\/blog\/glossary\/nifty\/\"  data-gt-translate-attributes='[{\"attribute\":\"data-cmtooltip\", \"format\":\"html\"}]'  tabindex='0' role='link'>Nifty<\/a> futures (1 lot):<\/strong> SPAN around &#8377;70,000 (varies with <a class=\"glossaryLink\"  href=\"https:\/\/lemonn.co.in\/blog\/glossary\/index\/\"  data-gt-translate-attributes='[{\"attribute\":\"data-cmtooltip\", \"format\":\"html\"}]'  tabindex='0' role='link'>index<\/a> level and VIX).<\/li>\n<li><strong>Bank Nifty calendar spread:<\/strong> SPAN drops sharply because the two legs offset.<\/li>\n<li><strong>Sold ATM call:<\/strong> SPAN reflects unlimited upside risk; typically 6&#x2013;8% of contract value.<\/li>\n<li><strong><a class=\"glossaryLink\" href=\"https:\/\/lemonn.co.in\/blog\/glossary\/iron-condor\/\" data-gt-translate-attributes='[{\"attribute\":\"data-cmtooltip\", \"format\":\"html\"}]' tabindex=\"0\" role=\"link\">Iron condor<\/a> or butterfly:<\/strong> Heavily reduced margin due to capped risk.<\/li>\n<\/ul>\n<h2 id=\"exposure-margin-on-top-of-span\">Exposure margin on top of SPAN<\/h2>\n<p>The total upfront margin in F&amp;O is SPAN + Exposure. Exposure margin is an additional buffer (around 1.5&ndash;5% depending on the segment) that protects the clearing corporation against tail events not captured by SPAN. <a class=\"glossaryLink\" href=\"https:\/\/lemonn.co.in\/blog\/glossary\/margin-pledge\/\" data-gt-translate-attributes='[{\"attribute\":\"data-cmtooltip\", \"format\":\"html\"}]' tabindex=\"0\" role=\"link\">Margin pledge<\/a> counts towards both components, subject to the 50% cash rule.<\/p>\n<h2 id=\"how-to-estimate-span-before-you-trade\">How to estimate SPAN before you trade<\/h2>\n<p>NSE provides a free SPAN calculator that lets you plug in your positions and see the margin requirement. Most <a class=\"glossaryLink\"  href=\"https:\/\/lemonn.co.in\/blog\/glossary\/broker\/\"  data-gt-translate-attributes='[{\"attribute\":\"data-cmtooltip\", \"format\":\"html\"}]'  tabindex='0' role='link'>broker<\/a>s, including Lemonn, replicate this in their margin calculator screens. Run it before opening a new position to avoid margin call surprises.<\/p>\n<h2 id=\"span-in-practice-a-tip\">SPAN in practice &#x2014; a tip<\/h2>\n<p>SPAN is dynamic. A sudden jump in VIX increases scenario losses and hence margin. Even if your position size is unchanged, you may see a higher margin requirement after a volatile day. Always keep a buffer to absorb these increases without triggering broker <a class=\"glossaryLink\" href=\"https:\/\/lemonn.co.in\/blog\/glossary\/square-off\/\" data-gt-translate-attributes='[{\"attribute\":\"data-cmtooltip\", \"format\":\"html\"}]' tabindex=\"0\" role=\"link\">square off<\/a>s.<\/p>\n<h2 id=\"frequently-asked-questions\">Frequently asked questions<\/h2>\n<div>\n<h3 id=\"is-span-the-same-on-nse-and-bse\">Is SPAN the same on NSE and <a class=\"glossaryLink\"  href=\"https:\/\/lemonn.co.in\/blog\/glossary\/bse\/\"  data-gt-translate-attributes='[{\"attribute\":\"data-cmtooltip\", \"format\":\"html\"}]'  tabindex='0' role='link'>BSE<\/a>?<\/h3>\n<p>The methodology is identical; parameters are calibrated to each exchange&#x2019;s contracts and may differ slightly.<\/p>\n<h3 id=\"why-does-my-span-change-after-a-market-move\">Why does my SPAN change after a market move?<\/h3>\n<p>New scenarios reflect new prices and volatility. Margin is recalculated continuously by the exchange.<\/p>\n<h3 id=\"can-i-get-margin-benefits-from-hedged-positions\">Can I get margin benefits from hedged positions?<\/h3>\n<p>Yes, that is one of SPAN&#x2019;s strengths. Hedged trades like spreads and iron condors have much lower margin.<\/p>\n<h3 id=\"is-span-applied-to-currency-and-commodity-f-o\">Is SPAN applied to currency and <a class=\"glossaryLink\" href=\"https:\/\/lemonn.co.in\/blog\/glossary\/commodity\/\" data-gt-translate-attributes='[{\"attribute\":\"data-cmtooltip\", \"format\":\"html\"}]' tabindex=\"0\" role=\"link\">commodity<\/a> F&amp;amp;O?<\/h3>\n<p>Yes, both segments use SPAN with their own parameters.<\/p>\n<\/div>\n","protected":false},"excerpt":{"rendered":"<p>SPAN &mdash; Standard Portfolio Analysis of Risk &mdash; is a risk-based margin system developed by the Chicago Mercantile Exchange in 1988 and adopted by Indian exchanges for F&amp;O. Instead of using a flat percentage, SPAN simulates how a portfolio would perform under multiple market scenarios and asks for the worst-case loss as upfront margin. It [&hellip;]<\/p>\n","protected":false},"author":3,"featured_media":0,"menu_order":0,"template":"","meta":{"_uag_custom_page_level_css":"","footnotes":""},"class_list":["post-12250","glossary","type-glossary","status-publish","hentry"],"blocksy_meta":[],"uagb_featured_image_src":{"full":false,"thumbnail":false,"medium":false,"medium_large":false,"large":false,"1536x1536":false,"2048x2048":false,"web-stories-poster-portrait":false,"web-stories-publisher-logo":false,"web-stories-thumbnail":false},"uagb_author_info":{"display_name":"Ashutosh","author_link":"https:\/\/lemonn.co.in\/blog\/author\/ashu\/"},"uagb_comment_info":0,"uagb_excerpt":"SPAN &mdash; Standard Portfolio Analysis of Risk &mdash; is a risk-based margin system developed by the Chicago Mercantile Exchange in 1988 and adopted by Indian exchanges for F&amp;O. Instead of using a flat percentage, SPAN simulates how a portfolio would perform under multiple market scenarios and asks for the worst-case loss as upfront margin. It&hellip;","_links":{"self":[{"href":"https:\/\/lemonn.co.in\/blog\/wp-json\/wp\/v2\/glossary\/12250","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/lemonn.co.in\/blog\/wp-json\/wp\/v2\/glossary"}],"about":[{"href":"https:\/\/lemonn.co.in\/blog\/wp-json\/wp\/v2\/types\/glossary"}],"author":[{"embeddable":true,"href":"https:\/\/lemonn.co.in\/blog\/wp-json\/wp\/v2\/users\/3"}],"version-history":[{"count":0,"href":"https:\/\/lemonn.co.in\/blog\/wp-json\/wp\/v2\/glossary\/12250\/revisions"}],"wp:attachment":[{"href":"https:\/\/lemonn.co.in\/blog\/wp-json\/wp\/v2\/media?parent=12250"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}