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What is SPAN and exposure margin?

Standard Portfolio Analysis of Risk (SPAN) is used by exchanges to calculate risk and margins for F&O portfolios. SPAN uses the price and volatility of the underlying security along with several other variables to determine the maximum possible loss for a portfolio and determines an appropriate margin. SPAN margin is monitored and collected at the time of placing an order and is revised by the exchanges throughout the day.

Exposure margin is charged over and above SPAN margin by the exchanges to cover risks that may not be covered by the SPAN margin.

Did you know?

  • Exposure margins for index futures and index option selling is 3% of the notional value of the contract.
  • For stock futures and option selling, it’s 5% of the notional value of the contract or 1.5 standard deviations of the logarithmic returns of the underlying share over the past 6 months.

SPAN + Exposure margin is called initial margin and this is collected at the time of entering a position. This is displayed on the Kite order window as shown below:


To learn more about how the margin system evolved in India, see The History of Margin Requirements in India .