SPAN Margin

SPAN (Standard Portfolio Analysis of Risk) stress-tests a position against a grid of plausible price and volatility moves and requires margin equal to the worst plausible one-day loss in that grid. It's why margin for undefined-risk trades like a naked short straddle is substantial and can rise sharply on a volatile day — the exchange is repricing the worst case in real time, not charging a flat rate.

Because SPAN recalculates continuously through the session rather than fixing once at entry, a position that comfortably cleared margin requirements at open can trigger a margin call by afternoon purely from a volatility spike — no adverse move in the position's own price required at all.

Example: SPAN might require roughly ₹45,000 to hold a short NIFTY straddle on a quiet session — and jump to ₹65,000 or more overnight purely because implied volatility spiked, before spot itself has moved a single point.