Parameters
- Equity Derivatives
- Commodity Derivatives
- Currency Derivatives
- Interest Rate Derivatives
Parameters
For the purpose of SPAN Margin, NSE Clearing specifies various parameters from time to time. The Price Scan Range in respect of various products is based on six standard deviations (6 sigma), subject to the minimum percentage of underlying price as tabulated below;
| Currency pairs | Minimum percentage of underlying Price |
|---|---|
| USDINR | 1.50% |
| EURINR | 2.15% |
| GBPINR | 2.25% |
| JPYINR | 2.65% |
| EURUSD | 2.50% |
| GBPUSD | 2.50% |
| USDJPY | 2.50% |
Volatility Scan Range
The Volatility Scan Range is 25% of annualized EWMA volatility subject to minimum 3%.
Calendar spread margin:
A currency futures position in one expiry month which is hedged by an offsetting position in a different expiry month would be treated as a calendar spread. The benefit for a calendar spread would continue till expiry of the near month contract. The calendar spread margin shall be as follows:
| Product | Calendar spread charge for spreads in months (INR) | |||
|---|---|---|---|---|
| 1 month | 2 months | 3 months | 4 months or more | |
| USDINR | 500 | 600 | 900 | 1100 |
| EURINR | 750 | 1050 | 1550 | 1550 |
| GBPINR | 1575 | 1875 | 2075 | 2075 |
| JPYINR | 675 | 1075 | 1575 | 1575 |
| EURUSD | 1600 | 1900 | 2100 | 2200 |
| GBPUSD | 1600 | 1900 | 2100 | 2200 |
| USDJPY | 1600 | 1900 | 2100 | 2200 |
Updated on: 22/07/2024
