SPAN — Standard Portfolio Analysis of Risk — is a margining system developed by the Chicago Mercantile Exchange (CME) and adopted by NSE, BSE, and MCX in India for calculating the initial margin requirements for derivatives positions. SPAN evaluates the risk of a portfolio of futures and options under a set of hypothetical market scenarios — typically 16 different combinations of price moves and volatility changes — and sets the margin requirement as the largest possible one-day loss under any of those scenarios. Because SPAN analyses the entire portfolio rather than individual positions, it accounts for the offsetting risk between correlated positions — such as a long Nifty futures position partially offset by long Nifty put options. This makes SPAN more capital-efficient than position-by-position margining. In India, SPAN margin is combined with exposure margin to arrive at the total initial margin required for F&O positions.
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