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Margin Calculation Method (VaR Method) for Futures and Options | Japan Securities Clearing Corporation

https://www.jpx.co.jp/jscc/en/cash/futures/marginsystem/VaR.html

April 7, 2026 at 09:04 PM JST•The archive page, viewer, and downloads use this saved version.

April 7, 2026 at 09:04 PM JST·www.jpx.co.jp

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Margin Calculation Method (VaR Method) for Futures and Options | Japan Securities Clearing Corporation

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Original URLhttps://www.jpx.co.jp/jscc/en/cash/futures/marginsystem/VaR.html

StartedApril 7, 2026 at 09:04 PM JST

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This page explains JSCC's margin calculation methodology for futures and options contracts. The margin calculation method was changed from the SPAN method to the VaR method on November 6, 2023. The VaR method has two types: Historical Simulation Method (HS-VaR), which generates scenarios based on historical market data, and Alternative Simulation Method (AS-VaR), which uses pre-set parameters like expected price fluctuations. Under HS-VaR, the margin amount covers 99% of potential portfolio profit/loss. Starting April 13, 2026, the VaR Margin Calculation Software will be upgraded from version 3.0 to version 4.0.

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