Comment on Zerodha F&O margin Calculator

vinayak commented on 06 Oct 2014, 08:17 PM

I’m not sure this is a SPAN calculator related question, possibly a more fundamental question:

I tried to calculate the margin requirements for buying one lot (50) of NIFTY along with a purchase of one lot of Put Options (priced 8300, Nifty is below 8000 right now); both expiring OCT. The overall position has no net downside risk (any downside in Futures covered fully with the PE options which by themselves are risk-free) Upside “risk” is my potential payoff (rather than the exchange’s)

Yet the SPAN calculator calculates a pretty large margin requirement for BOTH exposure margin and SPAN (again, there is no statistical risk)

Can somebody explain to me why is that? Is there something wrong in my assumptions?

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