SPAN (Standard Portfolio Analysis of Risk) is a risk-based margin system developed by the Chicago Mercantile Exchange and adopted by NSE for F&O margin calculations. It calculates the maximum possible loss a portfolio could suffer over a single trading day across 16 market scenarios.

How SPAN Works

  • Considers 16 scenarios: combinations of ±up to 3σ price moves and ±25% volatility changes
  • Takes the worst-case loss across scenarios as the required margin
  • Netting benefit for offsetting positions (e.g., long and short Nifty futures offset each other)
  • Initial Margin = SPAN Margin + Exposure Margin (additional buffer)