YOU ARE ON THE NEW NSE WEBSITE, ACCESS THE OLD WEBSITE ON THE URL www1.nseindia.com OR CLICK HERE
Accessibility
Feedback

Parameters


For the purpose of SPAN Margin, NSE Clearing specifies various parameters from time to time:

Currency Pairs Price scan range Minimum margins
USDINR Three & a half standard deviations (3.5 sigma) 1.00%
EURINR Three & a half standard deviations (3.5 sigma) 2.00%
GBPINR Three & a half standard deviations (3.5 sigma) 2.00%
JPYINR Three & a half standard deviations (3.5 sigma)

2.30%

 

Calendar spread margin:

A currency futures position in one expiry month which is hedged by an offsetting position in a different expiry month would be treated as a calendar spread. The benefit for a calendar spread would continue till expiry of the near month contract. The calendar spread margin shall be as follows:

USDINR EURINR GBPINR JPYINR
Rs.400 for spread of 
1 month

Rs.500 for spread of 
2 months

Rs.800 for spread of 
3 months 

Rs.1000 for spread of
4 months or more
Rs.700 for spread of 
1 month

Rs.1000 for spread of 
2 months

Rs.1500 for spread of 
3 months or more
Rs.1500 for spread of 
1 month

Rs.1800 for spread of 
2 months

Rs.2000 for spread of 
3 months or more
Rs.600 for spread of 
1 month

Rs.1000 for spread of 
2 months

Rs.1500 for spread of 
3 months or more
Updated on: 29/11/2019 12:00
Quick Links