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Recently, I have been reading up a lot on writing options as this is something I am interested in. I came across a span margin calculator which asks me to enter the contract and it automatically calculates the SPAN and Exposure margins. Please correct me if I am wrong, but SPAN margin is the margin that needs to be put up and fulfilled on a daily basis. My question is, what is the exact formula that is used to calculate these margins and how do they come up with a particular number? A link to the margin calculator can be found here

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The exact logic for SPAN is developed by CME and may be proprietary and complex. A good article to understand the margins is available on the NSE Site.

You can purchase SPAN software.

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