While seeing margin calculator, can I know how the total margin is calculated for futures using this API-https://api.kite.trade/margins/futures. How the initial margin and exposure is calculated?
The exchange publishes both SPAN and Exposure files daily(SPAN is published 6 times during the day). SPAN SPAN margins are charged to cover for the worst possible movement in the contract you are trading for a single day. The exchange has now revised this to cover for possible volatility over 2 days. SPAN margins are charged by calculating the Price Scan Range of the index or the stock.
Price Scan Range(PSR) is the worst possible movement in a scrip in a day. PSR is calculated using the daily volatility of the scrip. It is 3 sigma of the daily volatility for index contracts and 3.5 sigma for stocks. Exposure margins Exposure margins are charged over and above SPAN margins. This is 4.24% of the contract value for index and 7.07%(or 1.5 sigma, whichever is higher) for stock F&O.
SPAN
SPAN margins are charged to cover for the worst possible movement in the contract you are trading for a single day. The exchange has now revised this to cover for possible volatility over 2 days. SPAN margins are charged by calculating the Price Scan Range of the index or the stock.
Price Scan Range(PSR) is the worst possible movement in a scrip in a day. PSR is calculated using the daily volatility of the scrip. It is 3 sigma of the daily volatility for index contracts and 3.5 sigma for stocks.
Exposure margins
Exposure margins are charged over and above SPAN margins. This is 4.24% of the contract value for index and 7.07%(or 1.5 sigma, whichever is higher) for stock F&O.