ICEX follows VaR (Value at Risk) methodology for initial margin calculation. The Initial Margin requirement shall be based on a worst case loss of a portfolio of an individual client across various scenarios of price changes. The various scenarios
of price changes would be so computed so as to cover a 99% VaR over a one day horizon. Daily volatility of the futures prices is considered for the computation of VaR. Volatility is estimated using Exponentially Weighted Moving Average
(EWMA) Method. The standard deviation shall be set as the volatility estimate at the beginning.
In addition to initial margin, additional margin, regulatory margin and long margin / short margin may be levied and changed time-to-time under the guidelines of SEBI. Levy of margins shall be intimated to the members through the circulars.
Tender period and delivery period margin shall also be applicable during tender period and delivery period of the contracts.
All margins shall be collected upfront from the members. Margins shall be computed on gross positions of the clients i.e. no netting on margins for opposite positions across clients.