Span calculator

  1. Can the span calculator for CO/BO be used for checking margins of especially index options of past days ?

  2. Is there a formula to check margin for writing under the leveraged product types? Do give the formula.

  3. I also see that margin required for CO/BO is approx same for 8000ce @ 275 and 8400ce @ 25 for Writing. So if i write them, obviously ill be making more profit on 8000ce as i get 20 points profit instead of 6 points for 84ce a little later the same day. Am i missing something here?

  4. CO/BO for USD says infinite leverage. Do check.

  1. No

  2. Formula is quite complex, NSE gives out a CD called PC-SPAN which has this. We have integrated the same through API’s to our SPAN calculator.

  3. hmm… can’t understand this.

  4. There seems to be an error for USDINR, have this checked/fixed.

  1. For past days, I dont think so. The span files are updated everyday based on previous days closing.
  2. There is no formula as such. You need to use the span calculator. There are many paramters involved and hence the calculator is designed to do that. Doing manually would be cumbersome. For futures it is fixed % of contract value like 3% span and 2% exposure, so that can be calculated manually.
  3. Your explanation in unclear. Margin required would be similar like you said, but if you are loss, more than exposure margin, it will be squared off. I dont understand how you are saying writing 8000CE is more profitable.
  4. That is because of devision by zero error. Some contracts present in calculator are not really offered yet. (you cannot add in market watch), In those contracts you might see the infinity error.

No expiry thing here. All on intraday basis. All for CO/BO order type. All for WRITING.
At 12’o clock.

  1. 8400ce@ 10.65 requires 5257
    2.8100ce @ 117 requires 5136
    Now @ 2:42 8400 is at 6.85 and 8100 is at 75. They yeild approx 4 points and 42 points with same margin used. Weird?
    Note -The margins have been calculated just now after market hours with the prices at the noted timings.

Margins for CO/BO, depends on the SL that you mention.

In the calculator you dont see SL in CO/BO for options. You see the SL option only for futures.

For buying options there is no leverage, so no need to check for cover order stop loss values.
For buying NIFTY and BANKNIFTY options, flat 140% leverage is there, here stop loss should be with 20% range.
For selling Options, Span+Exposure margins are blocked.
So the calculator does not really needed to take input of stop loss values.