Exchange margin types (SPAN, ELM, Adhoc, VAR)

Wed, 20 May 2026 00:00:00 +0000

Indian exchanges (NSE, BSE, MCX) use several margin types in combination to manage participant risk. The four main types are SPAN (Standard Portfolio Analysis of Risk), ELM (Extreme Loss Margin), Adhoc margin, and VAR (Value at Risk). Each addresses a different aspect of margin calculation.

SPAN

SPAN is the portfolio-level worst-case loss calculation used primarily for F&O margins. The exchange’s SPAN engine:

Runs 16 stress scenarios (price up, price down, volatility up, volatility down, combinations).
Computes worst-case portfolio loss across scenarios.
This worst case becomes the SPAN margin.

SPAN is portfolio-aware: hedged positions get reduced SPAN; isolated short positions get full SPAN.

VAR + ELM intraday margin on Zerodha

Wed, 20 May 2026 00:00:00 +0000

VAR + ELM is the margin framework applied to equity intraday (cash segment) trades on Zerodha (and any Indian broker). For F&O, SPAN + Exposure is the framework; for equity cash, it’s VAR + ELM.

VAR (Value at Risk)

VAR is the volatility-based margin component per scrip:

Scrip-specific historical volatility.
99% confidence interval.
1-day horizon.
VAR margin = price level x VAR factor.

For a Rs 100 large-cap scrip with 1.5% daily volatility, VAR might be ~9% of notional.

VAR on WebNotes

Exchange margin types (SPAN, ELM, Adhoc, VAR)

SPAN

VAR + ELM intraday margin on Zerodha

VAR (Value at Risk)