Futures Trading

What is EOD margin?

After the market closes, clients need to maintain EOD or End of the Day margin (SPAN + Exposure) for open positions. This is then tallied with the latest exchange margin requirement which gets updated even after the market closes. Any shortfall here can also lead to clients being charged EOD margin shortfall. SPAN® determines margins using a scenario-based methodology. We know that the value of futures and options holdings is influenced by a variety of factors, including the security's price and volatility in the cash market. We also know by now that volatility and price both fluctuate. By assuming various values for the price and volatility, SPAN® generates approximately 16 alternative scenarios. The portfolio's potential loss is assessed for each of these situations. Exposure margin is also obtained in addition to initial / SPAN® margin. Index futures and index option sell positions are subject to exposure margins of 3% of the notional amount. For sell positions in individual security options and futures, the exposure margin is the greater of 5% or 1.5 standard deviations of the security's logarithmic returns (in the underlying cash market) for the previous six months, and it is applied to the notional value of the position.