Calculating span margin for an index option. Does not match the span margin given in zerodha/fyers/tradesmartonline and other span calculator.
Eg BankNifty 34100 strike call 30Dec2021 25 qty Sell gives span as 147791 Rs from span calculator.
But from NSE website selecting the largest loss from span file risk array gives different result:
[40.800000 181.770000 -1428.450000 -1370.710000 847.660000 1088.050000 -3030.940000 -3024.240000 1136.900000 1136.900000 -4681.110000 -4680.660000 1136.900000 1136.900000 -3377.490000 434.310000]
25 * 4681 = 117025.
Anyone knows how the 147791 result was achieved ? The current circular talks about changes to 6sigma and scaling by 1.414. But I’m unable to acheive the result.