Volatility for calculating SPAN and exposure margin

F&O
1

Referring to below answer

For futures of equities SPAN is defined as the 1.414 x max(3.5 x daily volatility,7.5%).

For MARUTI:
Daily volatility is 0.05817 so the SPAN is 0.05817 x 100 x 4006.15 x 3.5 x 1.414 = 115335. But according the margin calculator of Zerodha it is 118361.

Underlying T Day Close Price (A) Underlying T-1 Day Close Price (B) Underlying T-2 Day Close Price (C)
4006.15 4253.75 4285.9

Underlying Log Returns (D) = LN(A/B) Underlying Log Returns (E) = LN(B/C)
-0.059970266 -0.007529618

Current Day Underlying Daily Volatility (E) = Sqrt(0.94 x D x D + 0.06 x C x C)
0.058172576

Calculating volatility based on the way NSE calculates daily volatility.

Is Zerodha using other way of calculating volatility if so what is it?

Margin benefit in SPAN margin: How to calculate the benefit in SPAN margin?

2

We don’t do any internal calculations, we just pass what is asked by exchange.

You can refer this as a starting point and there are couple of NSE papers on span mechanics in detail if you want to dig deep.

3

The difference would arise due to the change in SPAN files during the day. The volatility and price of the contract would have changed causing the difference with the margin calculator. What is charged on our trading terminal is what is blocked by the exchange.

4

Thanks for the link @siva-reddy.

So Zerodha uses the span file to calculate the SPAN margin.

For the exposure margin it is 7.07% or 1.5 sigma, whichever is higher of the exposure.

From where do you get the sigma for the stocks? Can you share that?

5

Exposure is fixed for now. Exchanges publishes it once a month, I think.

Exchange publishes it. Can check reports published by exchange below.
https://www1.nseindia.com/products/content/all_daily_reports.htm

Also all the info is available on NSE website, try digging that website.