Comment on Zerodha F&O margin Calculator

Sai Kiran commented on 31 Dec 2013, 05:09 PM

Hi Nithin,
Could you explain(the rationality) why the margin is higher than maximum possible loss on hedged position for the below example. I think in US markets, the margin charged on hedged positions is equal to the maximum possible loss.

Example: 6300/6400 Bear Vertical Call Spread: Sell 6300 Jan Call at 132, and Buy 6400 Jan Call at 78, for a credit of (132-78) 54 points. The maximum possible loss should be the difference between the strikes (6400-6300=100), which is 5000/- per lot, and after adjusting for the credit received, (100-54=46 points loss) maximum loss should be 2300.

In-spite of the above, the actual total margin charged is 21,466 comprising of (Span margin: 9,550 Exposure Margin: 9,456 and Premium receivable: 2,460

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