Comment on ZT-Spread Orders

Sheoran commented on 15 Oct 2013, 04:51 AM

Hi Zerodha,

Why is SPAN MARGIN for a simple OTM Call Spread too much? The maximum liability is only the difference between the strike prices but the MARGIN calculated by SPAN CALCULATOR shows as if the MARGIN is for selling naked calls.

Say, today Nifty is at 6153 with 11 trading days to expiry (31Oct). And I am trying to setup a bear call spread:

1) sell: 6400CE, 100 = 640000 (underlying)
2) buy: 6450CE, 100 = 645000 (underlying)
total: (5000) (net underlying for the spread)

But instead of showing Rs. 5000 as margin, it shows me Rs. 37599/- as margin. Maximum Profit potential on this spread is Rs. 800. To block nearly Rs. 38000 for a reward of just Rs. 800 seems to be a sheer stupidity.

If spreads are not safe, then what is?

Does our NSE exchange stipulate such arcane span requirement for the spreads?

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