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What will be the new margining system in the case of Options and futures?

April 26, 2017Case Futures margining Options system

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What will be the new margining system in the case of Options and futures?

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A portfolio based margining model (SPAN), would be adopted which will take an integrated view of the risk involved in the portfolio of each individual client comprising of his positions in all the derivatives contract traded on the Derivatives Segment. The Initial Margin would be based on worst-case loss of the portfolio of a client to cover 99% VaR over two days horizon. The Initial Margin would be netted at client level and shall be on gross basis at the Trading/Clearing member level. The Portfolio will be marked to market on a daily basis.