Comment on Policy on settlement of compulsory delivery derivative contracts — Update Oct 2019
commented on
22 Jan 2021, 03:29 PM
1. No, the ITM call long will be exposed to a take delivery obligation and the short call will expire worthless(no settlement). Hence, this wont be netted off.
2. The increased margin requirement will be separate for both the contracts. Only SPAN benefit will be on a portfolio level. All short options will have margin requirement of twice the SPAN +Exposure(NRML) margin. For the long option, 50% of the contract value will be blocked only if it is ITM.
3. Increased margin will only be charged for the short options contracts. No additional margin for the OTM long contract.
4. Increased margins will be charged for both the positions.