Historical leverage in Nifty Futures

General
1

What is the historical leverage in Nifty Futures since it’s inception in Year 2000?

From where can I get this data?

Like right now, when Nifty is at 22400 value of 1 lot Nifty March Futures is 22500*50 is 11,25,000
And
Margin required is approx 1,25,000

So leverage is 9x.

What has been this leverage number historically? Where can I get this data for every trading day from 2000.

3 Likes
2

Hi @Praksy

Do check this thread once where some of the members shared interesting findings and sources.

For those interested, @MohammedFaisal did a Z-connect post last year on the history of F&O margin requirements.

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@Meher_Smaran

Hi, I have already gone through both the post and the blogpost. Both are very informative but none of the two shares the exact margin required or the leverage.

In the post, Prayag shares the lot size of nifty, right from 2000 till now. But no info is there on the margin values or leverage values.

And in the zconnect post, Faisal talks about how the margin landscape changed throughout history for futures. But no hard numbers are given.

I need the hard numbers - exact margin required, for back testing pnl calculation.

Can u please share these, you guys must be having in some database perhaps.

4

@Prayag

Just like you had shared the historical lot size of Nifty futures in a old post, can you share the historical margin required or leverage for Nifty Futures as well?

@MohammedFaisal

Hi Faisal, if possible, can you please have a look at my post. If you can share the historical margin that would be immensely helpful.

Didn’t get this data anywhere on the web.

5

@Streak

Hi Streak, do you have this historical margin data for Nifty? Do you allow back test on Nifty Futures?

If so, I guess you would have this data to calculate the PnL!

6

@nithin

Hi Nithin, I have been looking for some anwers but not getting any. Can you please help?

I am looking for historical margin required or the leverage in Nifty Futures since inception in 2000.

Feels a bit weird that this data won’t be readily available. How would anyone calculate the pnl in backtesting without this data?

Thanks in advance for your help.

7
  • The 2000s- Introduction of F&O in India
  • 2011- Introduction of penalties on SPAN margins
  • 2018- Penalties on SPAN +Exposure
  • 2020- Revamp of margins to help hedged positions
  • 2021- Introduction of peak margins

From 2021 onwards margin is required for both intraday and overnight.

Now what would be the historical margin, you would have to assume a 12% margin. I doubt if anyone would have that data.

2 Likes
8

Thanks a lot Nithin. I guess will have to just assume 12% or 8.3x leverage then.

Thanks for your reply.

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@Streak

How does your software calculate the pnl on Nifty Futures if you don’t have the historical margin needed?