SPAN Risk Parameters
For the purpose of SPAN Margin, NSE Clearing specifies various parameters from time to time:
| Index Derivatives | Index Options with residual maturity of more than 9 months | Stock Derivatives | |
|---|---|---|---|
| Price Scan Range | Six standard deviations (6 sigma) scaled up by √2 subject to 9.3% of underlying price. | Six standard deviations (6 sigma) scaled up by √2 subject to 17.7% of underlying price. | Six standard deviations (6 sigma) scaled up by √2 subject to 14.2% of underlying price. |
| Volatility Scan Range | 25% of annualized EWMA volatility subject to minimum 4% | 25% of annualized EWMA volatility subject to minimum 4% | 25% of annualized EWMA volatility subject to minimum 10% |
The Calendar Spread Charge in respect of various products is as follows:
| Product | Calendar Spread Charge |
|---|---|
| Index Derivatives | 1.75% of the far month contract |
| Stock Derivatives | 2.2% of the far month contract |
The margin on calendar spread shall be calculated on the basis of delta of the portfolio consisting of futures and options contracts in each month. A calendar spread position will be granted calendar spread treatment till the expiry of the near month contract.
In the case of futures and options contracts on index and individual securities, the margin on calendar spread positions shall be calculated on the basis of delta of the portfolio consisting of futures and options contracts in each month.
In the case of futures and options contracts on individual securities calendar spread position shall be granted calendar spread treatment till the expiry of the near month contract
In the case of futures and options contracts on index calendar spread position shall be granted calendar spread treatment till the expiry-1day of the near month contract. i.e the position expiring on the current day shall not be considered while computing calendar spread positions
Net Option Value
Net Option Value is computed as the difference between the Long Option positions and the Short Option positions, valued at the last available closing price of the relevant option contract.