{"id":12268,"date":"2026-05-22T13:39:48","date_gmt":"2026-05-22T13:39:48","guid":{"rendered":"https:\/\/lemonn.co.in\/blog\/glossary\/var-margin\/"},"modified":"2026-05-22T13:39:48","modified_gmt":"2026-05-22T13:39:48","slug":"var-margin","status":"publish","type":"glossary","link":"https:\/\/lemonn.co.in\/blog\/glossary\/var-margin\/","title":{"rendered":"VAR Margin"},"content":{"rendered":"<p>Value at Risk, or VAR, is a statistical estimate of how much a stock&rsquo;s price could fall in a single day with 99% confidence. <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> 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> use VAR to set the upfront margin for cash <a class=\"glossaryLink\"  href=\"https:\/\/lemonn.co.in\/blog\/glossary\/equity\/\"  data-gt-translate-attributes='[{\"attribute\":\"data-cmtooltip\", \"format\":\"html\"}]'  tabindex='0' role='link'>equity<\/a> trades. Combined with the Extreme Loss Margin, VAR forms the bulk of your cash-market margin requirement for intraday trades.<\/p>\n<div><strong>Key takeaways:<\/strong>\n<ul>\n<li><a class=\"glossaryLink\" href=\"https:\/\/lemonn.co.in\/blog\/glossary\/var-margin\/\" data-gt-translate-attributes='[{\"attribute\":\"data-cmtooltip\", \"format\":\"html\"}]' tabindex=\"0\" role=\"link\">VAR margin<\/a> estimates the worst-case daily loss for a stock at a 99% confidence level.<\/li>\n<li>It is the largest component of cash equity intraday margin.<\/li>\n<li>Recalculated daily based on rolling <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> and recent price action.<\/li>\n<li>Higher VAR = higher margin = lower <a class=\"glossaryLink\" href=\"https:\/\/lemonn.co.in\/blog\/glossary\/leverage\/\" data-gt-translate-attributes='[{\"attribute\":\"data-cmtooltip\", \"format\":\"html\"}]' tabindex=\"0\" role=\"link\">leverage<\/a> available on that stock.<\/li>\n<li>VAR + ELM + ad-hoc = total cash equity intraday margin requirement.<\/li>\n<\/ul>\n<\/div>\n<h2 id=\"how-var-is-calculated\">How VAR is calculated<\/h2>\n<p>NSE follows a methodology developed by <a class=\"glossaryLink\"  href=\"https:\/\/lemonn.co.in\/blog\/glossary\/sebi\/\"  data-gt-translate-attributes='[{\"attribute\":\"data-cmtooltip\", \"format\":\"html\"}]'  tabindex='0' role='link'>SEBI<\/a>&rsquo;s risk committee. The exchange tracks each stock&rsquo;s rolling returns and computes the standard deviation of daily moves. The VAR margin is set at the higher of:<\/p>\n<ul>\n<li>Three times the rolling standard deviation of daily returns, or<\/li>\n<li>A minimum floor based on <a class=\"glossaryLink\" href=\"https:\/\/lemonn.co.in\/blog\/glossary\/liquidity\/\" data-gt-translate-attributes='[{\"attribute\":\"data-cmtooltip\", \"format\":\"html\"}]' tabindex=\"0\" role=\"link\">liquidity<\/a> and <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> inclusion.<\/li>\n<\/ul>\n<p>For <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> 50 <a class=\"glossaryLink\"  href=\"https:\/\/lemonn.co.in\/blog\/glossary\/stocks\/\"  data-gt-translate-attributes='[{\"attribute\":\"data-cmtooltip\", \"format\":\"html\"}]'  tabindex='0' role='link'>stocks<\/a>, VAR floor is typically 7.5%. For other stocks, the floor is higher &mdash; often 15% or more for less liquid scrips.<\/p>\n<h2 id=\"var-in-margin-requirement\">VAR in margin requirement<\/h2>\n<p>Your cash equity intraday margin is approximately VAR + ELM + ad-hoc. For a Nifty 50 stock with VAR 7.5% and ELM 5%, the total margin requirement is around 12.5&#x2013;13%. So a &#x20B9;1 lakh trade requires roughly &#x20B9;13,000 in upfront margin &#x2014; an effective leverage of about 7.7x.<\/p>\n<h2 id=\"why-var-matters-more-after-peak-margin-rules\">Why VAR matters more after <a class=\"glossaryLink\" href=\"https:\/\/lemonn.co.in\/blog\/glossary\/peak-margin-rules\/\" data-gt-translate-attributes='[{\"attribute\":\"data-cmtooltip\", \"format\":\"html\"}]' tabindex=\"0\" role=\"link\">peak margin rules<\/a><\/h2>\n<p>Before peak margin, <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 could discount VAR in their internal risk models. SEBI&rsquo;s 2021 framework forces brokers to collect 100% of the exchange-prescribed VAR upfront. This is why intraday leverage on cash equity is now firmly capped &mdash; your broker cannot offer more than the exchange formula allows.<\/p>\n<h2 id=\"var-for-delivery-vs-intraday\">VAR for delivery vs intraday<\/h2>\n<table>\n<tr>\n<th>Trade type<\/th>\n<th>VAR relevance<\/th>\n<\/tr>\n<tr>\n<td>Delivery (CNC)<\/td>\n<td>None &#x2014; full 100% margin required<\/td>\n<\/tr>\n<tr>\n<td>Intraday (MIS)<\/td>\n<td>VAR + ELM + ad-hoc decides margin<\/td>\n<\/tr>\n<tr>\n<td>F&amp;O<\/td>\n<td>Replaced by SPAN + Exposure<\/td>\n<\/tr>\n<\/table>\n<h2 id=\"stocks-where-var-is-unusually-high\">Stocks where VAR is unusually high<\/h2>\n<ul>\n<li>Stocks under additional surveillance (ASM\/GSM lists).<\/li>\n<li>Stocks with low daily turnover or thinly traded counters.<\/li>\n<li>Small-caps with high realised volatility.<\/li>\n<li>Stocks just after a <a class=\"glossaryLink\" href=\"https:\/\/lemonn.co.in\/blog\/glossary\/stock-split\/\" data-gt-translate-attributes='[{\"attribute\":\"data-cmtooltip\", \"format\":\"html\"}]' tabindex=\"0\" role=\"link\">stock split<\/a> or large corporate action.<\/li>\n<\/ul>\n<h2 id=\"how-traders-use-var-data\">How traders use VAR data<\/h2>\n<p>You will rarely see &#x201C;VAR&#x201D; mentioned by name in your broker app &#x2014; it shows up indirectly through the leverage shown on each stock. By comparing required margins across stocks, you can see which ones the exchange flags as high-VAR. Active intraday traders use this as a quick volatility proxy when scanning for setups.<\/p>\n<h2 id=\"frequently-asked-questions\">Frequently asked questions<\/h2>\n<div>\n<h3 id=\"does-var-margin-change-daily\">Does VAR margin change daily?<\/h3>\n<p>Yes. The exchange recomputes VAR daily based on rolling volatility, so leverage available on a stock can move.<\/p>\n<h3 id=\"is-var-the-same-on-nse-and-bse\">Is VAR the same on NSE and BSE?<\/h3>\n<p>The methodology is the same but stock-level numbers can differ slightly because they track different turnover bases.<\/p>\n<h3 id=\"why-does-my-margin-requirement-rise-during-volatile-periods\">Why does my margin requirement rise during volatile periods?<\/h3>\n<p>Higher recent volatility increases VAR, which increases margin. The exchange protects itself from worsening risk.<\/p>\n<h3 id=\"does-var-apply-to-f-o\">Does VAR apply to F&amp;amp;O?<\/h3>\n<p>No. F&amp;O margin uses SPAN + Exposure. VAR is a cash-equity concept.<\/p>\n<\/div>\n","protected":false},"excerpt":{"rendered":"<p>Value at Risk, or VAR, is a statistical estimate of how much a stock&#x2019;s price could fall in a single day with 99% confidence. NSE and BSE use VAR to set the upfront margin for cash equity trades. Combined with the Extreme Loss Margin, VAR forms the bulk of your cash-market margin requirement for intraday [&#x2026;]<\/p>\n","protected":false},"author":3,"featured_media":0,"menu_order":0,"template":"","meta":{"_uag_custom_page_level_css":"","footnotes":""},"class_list":["post-12268","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":"Value at Risk, or VAR, is a statistical estimate of how much a stock&#x2019;s price could fall in a single day with 99% confidence. NSE and BSE use VAR to set the upfront margin for cash equity trades. Combined with the Extreme Loss Margin, VAR forms the bulk of your cash-market margin requirement for intraday&hellip;","_links":{"self":[{"href":"https:\/\/lemonn.co.in\/blog\/wp-json\/wp\/v2\/glossary\/12268","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\/12268\/revisions"}],"wp:attachment":[{"href":"https:\/\/lemonn.co.in\/blog\/wp-json\/wp\/v2\/media?parent=12268"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}