F&O Margin Calculator
SPAN and exposure margin for any option or futures position on NSE and BSE, and how much a hedge saves. Start from a strategy with today's at-the-money strikes, then change any leg.
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Place the buy legs first: the hedge benefit applies only once the bought options are in your account.
Margin of each leg on its own
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How F&O margin is calculated
The margin for a futures or option-selling position has two parts. SPAN margin is the worst one-day loss the position could make across 16 price and volatility scenarios the exchange publishes for every contract. Exposure margin (extreme loss margin) is added on top as a share of the contract value: 2% for index derivatives and more for stocks.
Buying an option needs no margin: you pay the premium, and the most you can lose is that premium. Selling an option or holding a future blocks margin, because the loss can run far beyond the premium.
Why hedged strategies need less margin
SPAN looks at all the legs of one underlying together. In a spread or an iron condor, the bought options cap the loss of the sold ones in every scenario, so the combined margin is a fraction of the legs margined one by one. The calculator shows this as the hedge benefit: the legs alone, added up, minus the margin for the whole basket.
Expiry day
On the expiry day of an index option, short positions in contracts expiring that day carry an extra 2% extreme loss margin, and calendar spreads lose their margin benefit for the leg that expires. Plan for a higher margin if you hold short index options into expiry.
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Frequently asked questions
What is SPAN margin?
SPAN margin is the main part of the money the exchange blocks for a futures or option-selling position. It is the worst loss the position could make across 16 price and volatility scenarios the exchange publishes for each contract, for one day. Buying an option needs no SPAN margin - you pay the premium instead.
What is exposure margin?
Exposure margin (extreme loss margin) is charged on top of SPAN for futures and short options, as a percentage of the contract value: 2% for index derivatives, and higher for stocks. On expiry day, short options on an index carry an extra 2%.
Why is the margin lower for a hedged strategy?
SPAN margins all the legs of one underlying together. In an iron condor or a spread, the bought options offset the risk of the sold ones in the scenarios the exchange tests, so the combined margin is much less than the legs added up. The calculator shows that difference as the hedge benefit.
Why should I place the buy legs first?
The exchange gives the hedge benefit only for positions you already hold. If you sell first, the full naked margin is blocked until the hedge is in place, and the order can be rejected for want of funds. Buying the hedge first keeps the margin at the hedged level all along.
Is this the margin my broker will block?
It is computed with the exchange risk parameters, so it should be close to what brokers show for an NRML (carry-forward) position. Brokers can add their own margin, and charge more for intraday positions held near the close or for illiquid contracts.
How much margin is needed to sell one lot of NIFTY options?
Selling one NIFTY option lot unhedged blocks about 1.5 lakh rupees in a normal week, depending on the strike and volatility. Hedged, as a spread or an iron condor, it usually falls to a third or less. Pick NIFTY and a template above to see today's figure.
Plan the trade
Margin is an estimate from the exchange's SPAN risk parameters for an NRML (carry-forward) position; your broker may block more. Prices are the latest traded prices. For information only, not investment advice. Disclaimer