SPAN Margin
SPAN (Standard Portfolio Analysis of Risk) margin is the minimum initial margin required for futures and options writing positions on NSE, calculated by estimating the worst-case loss of a portfolio over a single trading day across a range of price and volatility scenarios.
SPAN margin was developed by the Chicago Mercantile Exchange and adopted by NSE as the methodology for computing initial margin requirements in the F&O segment. The system evaluates a portfolio's value across 16 scenarios — combinations of underlying price moves and implied volatility changes — and sets the margin requirement equal to the worst-case loss across all scenarios.
For a single short Nifty futures contract, SPAN margin was historically in the range of ₹80,000–₹1,20,000, representing approximately 7–10% of the contract's notional value. For option writing positions, particularly OTM options, SPAN margin was lower in absolute terms but could increase sharply if the underlying moved toward the written strike, triggering additional margin calls.
SEBI introduced Exposure Margin as an additional buffer on top of SPAN margin, and the sum of the two represented the total initial margin requirement. Participants were required to maintain sufficient funds in their account at all times, and any shortfall resulted in a margin call. Failure to meet the margin call within the stipulated timeframe resulted in the broker squaring off the position, irrespective of the participant's view on the trade.
SPAN margin is recalculated at intervals during the trading day on NSE, and significant intraday moves can trigger mid-session margin calls. During events such as the COVID-19 market crash in March 2020, Bank Nifty futures experienced intraday moves of several thousand points, causing SPAN margins to spike and forcing many leveraged positions to be liquidated at unfavourable prices.
A misconception is that meeting only the SPAN margin requirement is sufficient to safely hold F&O positions. SPAN reflects the estimated single-day worst case under a defined set of scenarios; it does not account for extreme tail events or consecutive adverse days. Prudent risk management involves maintaining a capital buffer significantly above the minimum SPAN requirement to avoid forced liquidation during volatile periods.