Calculate SPAN Margin

[anandbohra]

Hi all

I want to know the SPAN Margin for all scrips at one go.

how to do the same.

pl tell me

in my dealing room there is pcspan but it takes too much time & also u can calculate only one scrip at a time.


so anyone of you knows the calculation logic or otherwise a way to calculate span margin for all the scrips at one go

awaiting for an earliest reply

 

[dourediff]

Hi all

I want to know the SPAN Margin for all scrips at one go.

how to do the same.

pl tell me

in my dealing room there is pcspan but it takes too much time & also u can calculate only one scrip at a time.


so anyone of you knows the calculation logic or otherwise a way to calculate span margin for all the scrips at one go

awaiting for an earliest reply

check http://www.dynamiccares.com/f_o/margin_report.aspx link for daily margin requirement

 

[anandbohra]

Thank you very much but I am more interested in learning logic rather than having a ready made answer.

hope u understand coz I am more inspired by this proverb

"Give a man a fish and he will eat for a day. Teach a man to fish and he will eat for the rest of his life."

hope I am not demanding more than required.

awaiting for an earliest reply from your side.

 

[LAKSHMISUJATHA]

I want to know the SPAN Margin for all scrips at one go.

how to do the same.

pl tell me

in my dealing room there is pcspan but it takes too much time & also u can calculate only one scrip at a time.


so anyone of you knows the calculation logic or otherwise a way to calculate span margin for all the scrips at one go

 

[andygp]

The exact logic of SPAN method is not in public domain. Exchanges buy sofware from CBOT to calculate this online. The base logic for this is 99% VaR of the portfolio position. However, this VaR number is stress tested for some 13 different market scenarios which are not disclosed in public domain. If you want to get a lower bound you could write code for calculating 99% VaR based on historical returns.

 

[senthilj123]

http://www.5paisa.com/5pit/spma.asp

 

[SavantGarde]

Anand,

PCSPAN Is Encrypted File Generated By NSE
You Must Have The Software Installed On Your Computer Since You Are Decrypting The MG Files Received.....In My Opinion That Is The Best Way Of Knowing The Exact Margin Requirement During Intraday & EOD, Because These Are Only Available To Brokers & Software Costs Approx Little Less Than 9K

Workings of PCSPAN Is Perhaps Not Clear To You...Please Find The Link Below

http://www.nseindia.com/content/nsccl//nsccl_fospanfiles2.htm

Depending On The Volatility There Are Several MG Files Generated During Market Hours By NSE....Where Each Of The Subsequent Files Will Have Latest Details Of The Span/Initial Margin.

Infact, You Should Be Able To See The Latest Requirements On All Scrips...Or Even As Portfolio For All Open Positions Of Clients.
----------------------------------------------------------------------
Besides Span/Initial Margin There Is Exposure Margin

Which Is Normally 3% For Index Futures & 5% For Stock Futures...This Is Declared By NSE At The Beginning Of The Month & Remains Constant Through The Month....Only Span/Initial margin Is Dynamic & Percentage Requirement Changes Because Of Various Reasons...Such As Volatility, OI & Etc.

SavantGarde

Hi all

I want to know the SPAN Margin for all scrips at one go.

how to do the same.

pl tell me

in my dealing room there is pcspan but it takes too much time & also u can calculate only one scrip at a time.


so anyone of you knows the calculation logic or otherwise a way to calculate span margin for all the scrips at one go

awaiting for an earliest reply

 

[TradeRaid]

Anand,

PCSPAN Is Encrypted File Generated By NSE
You Must Have The Software Installed On Your Computer Since You Are Decrypting The MG Files Received.....In My Opinion That Is The Best Way Of Knowing The Exact Margin Requirement During Intraday & EOD, Because These Are Only Available To Brokers & Software Costs Approx Little Less Than 9K

Workings of PCSPAN Is Perhaps Not Clear To You...Please Find The Link Below

http://www.nseindia.com/content/nsccl//nsccl_fospanfiles2.htm

Depending On The Volatility There Are Several MG Files Generated During Market Hours By NSE....Where Each Of The Subsequent Files Will Have Latest Details Of The Span/Initial Margin.

Infact, You Should Be Able To See The Latest Requirements On All Scrips...Or Even As Portfolio For All Open Positions Of Clients.
----------------------------------------------------------------------
Besides Span/Initial Margin There Is Exposure Margin

Which Is Normally 3% For Index Futures & 5% For Stock Futures...This Is Declared By NSE At The Beginning Of The Month & Remains Constant Through The Month....Only Span/Initial margin Is Dynamic & Percentage Requirement Changes Because Of Various Reasons...Such As Volatility, OI & Etc.

SavantGarde

Had some queries on SPAN calculation, landed up on this thread which is 4 years old...

Am checking out the Zerodha SPAN calculator http://zerodha.com/margin-calculator/SPAN

Had a question, the tool says Total margin = SPAN +Exposure + Premium receivable - spread benefit..

Is the spread benefit for both futures and for options or for futures only?