Margin calculator for F&O, stocks and commodities

F&O margin is SPAN plus exposure margin. SPAN is the worst one-day loss of your whole position in an underlying across 16 price and volatility scenarios set by the clearing corporation. Exposure margin, or ELM, is a further percentage of contract value. Sold options also add their current value; bought options need only their premium. The calculator works these out from the same exchange files and shows the date of the file used.

SPAN is the method the clearing corporations use to set the main margin on futures and options. Each day they publish, for every contract, what a position would lose under 16 scenarios of price and volatility moves. Your SPAN margin is the worst of those losses for your whole position in an underlying, so legs that gain in the same scenario where others lose reduce it.

Exposure margin (ELM) is a percentage of contract value charged on top of SPAN for moves beyond its scenarios. VaR margin plays SPAN’s role for stocks: a per-scrip percentage the clearing corporation publishes several times a day. On expiry day, SEBI’s 2024 rules add a further exposure margin (2% at the time of writing) on short options expiring that day.

An iron condor needs far less margin than its sold options alone, because the bought wings cap the loss. SPAN charges the worst loss of the four legs together, which cannot exceed the gap between sold and bought strikes. Exposure margin applies to the sold options, and the wings’ premium is paid in full. The NIFTY iron condor page shows the figure from the latest exchange files, with their date. NIFTY iron condor margin

Because the exchange margins the combined risk, not each leg on its own. A bought future and a sold call on the same index lose money in opposite scenarios, so the worst-case loss of the pair is smaller than the sum of each leg’s worst case. The calculator shows that difference as the hedge benefit. Brokers apply it when all the legs are in your account together.

Intraday (MIS) margin for a stock is VaR plus extreme loss margin, with a floor of 20% of the trade value, so at most 5 times leverage. More volatile stocks need more, up to the full value. The floor comes from SEBI’s peak margin rules, in full force since September 2021: brokers must collect the exchange margin upfront, and the industry applies at least 20% for stocks. A delivery (CNC) buy needs the full value; a delivery sell of shares you hold needs no margin.

Peak margin is the highest margin your positions required at any point in the day. Under SEBI’s 2020 framework, clearing corporations take several random snapshots of every client’s positions during the day, and brokers must have collected at least the peak requirement upfront. A broker short of it pays a penalty, which is why brokers block the full margin before an order.

The method is the same, but the figures can differ. NSE Clearing and BSE’s Indian Clearing Corporation each publish their own SPAN files, VaR rates and exposure margins, and contracts differ (NIFTY and BANKNIFTY on NSE, SENSEX and BANKEX on BSE). For a stock listed on both, VaR rates are usually close; the calculator uses each exchange’s own file.

MCX margin is the initial margin from MCX Clearing’s SPAN file plus extreme loss margin, never below the minimum margin MCX publishes for each contract as a percentage of its value. Near expiry, contracts enter a tender or delivery period that carries extra delivery margin. The calculator flags those contracts, because that extra margin is not in its figure.

CNC is delivery for stocks: you pay the full value of a buy and receive the shares, and a delivery sell needs no margin because your shares cover it. MIS is intraday: the position is squared off the same day, so only the margin is blocked. NRML is for futures and options you carry overnight. The exchange margin for F&O is the same for MIS and NRML, so the calculator prices them alike; some brokers offer extra intraday leverage of their own.

It is worked out from the exchange files of the last published run, at the reference prices in those files unless you enter your own price, and rounded up by 5%. Live prices move margins during the day, and brokers can add ad hoc margins, delivery margins near expiry, or their own risk limits. Treat it as a close guide for planning; the order window of your broker shows the final figure.