Comment on Zerodha F&O margin Calculator

Nithin Kamath commented on 09 Dec 2015, 09:50 PM

Yes, the margin goes up the longer the time to expiry. The far month options usually have much more exposure margin. Check this link, point 16.

For futures on individual securities and sell positions in options on individual
securities, the exposure margin is higher of 5% or 1.5 standard deviation of the
LN returns of the security (in the underlying cash market) over the last 6 months
period and is applied on the notional value of position.

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