What It Means
SPAN Margin is the core margin you must put up to hold an F&O position, calculated by NSE Clearing's SPAN (Standard Portfolio Analysis of Risk) system.
How It Works
SPAN stress-tests your position across around 16 different market scenarios — combinations of price and volatility moves — and sets the margin equal to the worst-case one-day loss it finds across those scenarios, at a 99% confidence level. It's recalculated multiple times through the trading day as prices and volatility shift, so your required margin can change even on a position you haven't touched. SPAN Margin plus Exposure Margin together make up your total upfront margin requirement for an F&O position.