How Futures Margins Are Calculated: SPAN and Exposure Margin
Blog by Aliceblue News Desk
13 November 2026
9 minutes
Quick Answer
Futures margin in India is SPAN margin plus exposure margin. SPAN is the exchange’s estimate of the most your position can lose in a day. Exposure margin is an extra cushion on top: 2% of contract value for index futures, and 3.5% or a volatility-based rate, whichever is higher, for stock futures. Your broker blocks the total before you trade.
You open the Nifty futures screen and see a price near ₹25,200. One lot is worth over ₹16 lakh, but your broker asks for about ₹1.86 lakh. A week later, the figure has changed.
That figure has two parts: SPAN margin and exposure margin. This guide shows how futures margins are calculated, walks through a real Nifty lot and a real stock futures case, and explains what the margin does and does not tell you about your risk.
What Is Futures Margin?
Futures margin is the money you keep with your broker to hold a futures position. It is a deposit, not the price of the contract. The amount blocked when you open a trade is called the initial margin.
A futures contract is an agreement to buy or sell something at a fixed price on a fixed date. You do not pay the full value upfront. The exchange asks for a deposit because prices can fall sharply overnight, and that loss has to be covered.
NSE Clearing sets initial margin using SPAN, which looks at your whole portfolio and updates during the trading day.
What Is SPAN Margin?
SPAN stands for Standard Portfolio Analysis of Risk. It answers one question: how much could this position lose before the next settlement?
Lots of articles explain that SPAN uses the price and volatility of the underlying security, along with other variables, to find the maximum possible loss for a portfolio. Volatility simply means how sharply a price moves. SPAN margin is revised by the exchanges throughout the day.
NSE Clearing bases initial margin on a 99% value at risk over one day. In plain words, the margin is set to cover the loss on 99 days out of 100. For futures, it uses a two-day window, because the day’s loss cannot be collected before trading starts the next morning.
SPAN also looks at positions together. If two positions offset each other, the combined margin is lower. That reduction is called the spread benefit.
What Is Exposure Margin?
Exposure margin is charged over and above SPAN to cover risks that SPAN may not cover. On the exchange side, it is called Extreme Loss Margin. Contract value here means spot price times lot size.
Contract type | Exposure margin |
Index futures and index option selling | 2% of contract value |
Stock futures and stock option selling | 3.5% of contract value, or 1.5 standard deviations of the past 6 months of returns, whichever is higher |
A standard deviation measures how much a price usually moves. A very volatile stock can therefore carry more than 3.5%.
NSE Clearing lists the same 2% and 3.5% Extreme Loss Margin rates for index and stock derivatives. Some broker adds that exposure margin is blocked on the previous day’s close or the last traded price (LTP) of the underlying, whichever is higher.
How Futures Margins Are Calculated: SPAN and Exposure, Step by Step
- Find the contract value. Multiply the price by the lot size. Nifty’s lot size is 65, reduced from 75.
- Get the SPAN margin. The exchange sets the risk numbers, and your broker’s system applies them to your position.
- Apply any spread benefit. If your positions offset each other, the requirement falls.
- Work out the exposure margin. Multiply the contract value by the exposure rate.
- Add SPAN and exposure margin. That total is the initial margin.
One caution on the maths. A Varsity reader comment gives the formula as SPAN plus exposure margin minus spread benefit, but the page itself does not explain how spread benefit is calculated. Use your broker’s calculator for the exact number.
Practical Examples With Numbers
Example 1: One lot of Nifty futures
A broker’s calculator on 13 November 2026 listed the Nifty 23 November 2026 future at ₹25,214.2, lot size 65, with a margin of ₹1,86,381. That is 11.37% of the contract value.
Step | Calculation | Amount |
Contract value | 65 × ₹25,214.2 | ₹16,38,923 |
Exposure margin at 2% | 2% × ₹16,38,923 | ₹32,778 |
Total margin shown | Broker calculator | ₹1,86,381 |
SPAN part, worked backward | ₹1,86,381 less ₹32,778 | ₹1,53,603 (about 9.4%) |
The SPAN figure is my own working backward from the broker’s total. It assumes no spread benefit and a 2% exposure margin.
Now look at the risk. If Nifty falls 100 points, you lose 65 × 100 = ₹6,500. A 1% fall costs about ₹16,389. A 2% fall costs about ₹32,778, which is close to 18% of the margin gone in one move.
The margin is ₹1.86 lakh, but your profit and loss follow the full ₹16.39 lakh contract.
Example 2: A stock future and a spread
Varsity shows one lot of JIOFIN futures (2,350 shares) with a SPAN margin of ₹98,488 and an exposure margin of ₹1,08,218. The initial margin is the sum, ₹2,06,706. Here, the exposure margin is larger than SPAN, so SPAN is not always the bigger part.
The same page shows how a spread works. Buying April and selling May JIOFIN futures each need roughly ₹2.06 lakh on their own, a total of ₹4,12,606. Held together, the margin drops to ₹50,828. These were contracts that expired in 2026, shown only to explain the method.
Key Features
- SPAN covers the worst likely one-day loss, so volatile contracts need more margin.
- Exposure margin is a percentage of contract value, set by the exchange.
- Offsetting positions can reduce the total requirement.
- Margin is blocked when you place the order.
- The amount is revised during the day and can change from one day to the next.
- A change in lot size changes the contract value, and the margin moves with it.
Advantages
- You need less money to hold a larger position. About ₹1.86 lakh controls ₹16.39 lakh of Nifty in Example 1.
- Spread positions need far less margin, as the JIOFIN case shows.
- Traders can use futures to offset market risk in a stock portfolio, for instance by taking a short Nifty position.
- Calmer contracts need less margin than volatile ones, so the requirement follows the risk.
- You can check the figure on a calculator before you trade.
Risks and Limitations
- Leverage works in both directions. A ₹2 lakh balance can hold a ₹16 lakh position, and a 2% fall costs about ₹32,800 before brokerage and taxes.
- Margins can rise when markets turn volatile, which is often when you are already in a loss. If your balance drops below the requirement, your broker can ask for more funds or close the position.
- Behaviour is a risk too. Traders use every rupee of margin, add to a losing trade, or skip the stop loss because the price “will come back.” Margin shows what the exchange wants blocked. It says nothing about how much you can afford to lose.
Tips for Beginners
- Judge the trade by contract value. Ask what a fall of 2% would cost you.
- Keep extra money in the account above the required margin.
- Check the margin before each order, and match the expiry and product type.
- Start with one lot and set a stop loss before you enter.
- Be careful around RBI policy days, Budget day, and expiry week.
- Read what futures trading is and compare futures and options before your first trade.
SPAN Margin vs Exposure Margin
Parameter | SPAN margin | Exposure margin |
What it covers | Worst likely one-day loss | Extra cushion for risks SPAN may miss |
How it is set | Risk model using price and volatility | Percentage of contract value |
Rate | Changes with market risk | 2% index, 3.5% or higher for stock |
Share of total | Larger in the Nifty example | Larger in the JIOFIN example |
Offset benefit | Yes, through spread benefit | Not described as reduced in the sources |
Common Mistakes to Avoid
- Treating margin as the maximum loss. Losses follow the full contract value. Size your trade for what you can afford to lose.
- Using all available margin. One bad day then forces you out. Leave room.
- Using an old lot size. Nifty is 65 now, and NSE has changed it before.
- Assuming margin stays fixed. It is revised through the day.
- Confusing margin with a loan. Margin Trading Facility is a funded purchase that charges interest. Futures margin is a deposit.
- Assuming option buying needs the same margin. Buying options needs only the premium. SPAN and exposure margin are not required.
- Comparing different rows. Match the expiry and product type before deciding two numbers differ.
Who Should Trade Futures?
Futures suit active traders who watch positions daily, use stop losses, and keep spare capital. They also suit investors who want to offset market risk in a portfolio.
Is futures trading good for beginners? Only after you understand margin and can afford the losses. It is a poor fit if you have small capital, no risk plan, or no time to follow the market. If your goal is to buy and hold companies, delivery investing is simpler.
Conclusion
Futures margin has two parts. SPAN covers the worst likely one-day loss, and exposure margin adds 2% for index futures or 3.5% or more for stock futures. For one Nifty lot worth about ₹16.39 lakh, the margin was near ₹1.86 lakh, but the full contract value drives your profit and loss. Check the margin before each trade, plan for a 2% fall, and keep spare funds in your account. Margins change, so confirm the current figure on Alice Blue’s calculator.
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