Definition
SPAN Margin
SPAN margin is the core risk-based margin for F&O positions, calculated by simulating worst-case price and volatility moves.
SPAN (Standard Portfolio Analysis of Risk) is the system Indian exchanges use to compute the minimum margin needed to cover a position's likely one-day risk across a range of price and volatility scenarios. It is the larger, primary component of the total F&O margin.
For hedged positions like spreads, SPAN margin is far lower than for naked options or futures because the legs offset each other. SEBI requires brokers to collect full SPAN plus exposure margin upfront, which is why selling a naked Nifty option blocks much more capital than running a defined-risk iron condor.
Related terms
- Notional ValueNotional value is the full market value an F&O contract controls — the lot size times the underlying price.
- Exposure MarginExposure margin is an additional buffer collected on top of SPAN margin to cover extreme or unexpected market moves.
- Peak MarginPeak margin is SEBI's rule requiring brokers to ensure full margin is available at the highest exposure point during the day, checked via random snapshots.
- MarginMargin is the upfront money a trader must keep with the broker as collateral to take a leveraged futures or options position, set by the exchange to cover potential losses.
Plain-English explainer from The Dispatch Investors Encyclopedia. General information, not financial advice.