Comment on New margin framework for F&O trades

Manoj commented on 13 Aug 2020, 11:17 PM

In the example you have stated the following
SELL 9600 CE and BUY 9700 CE

SPAN: 7,437
EXPOSURE: 14,370
TOTAL MARGIN: 21,808
MARGIN RECEIVED: 3,581

The total risk taken is ONLY 75*100 (diff between 9600 and 9700) = 7,500
On top of that premium received is 3,581 thus MAXIMUM loss in this trade is 7,500-3,581 = 3,919

BUT still the margin required is 21,808

WHY

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