Comment on Zerodha F&O margin Calculator

Adithya commented on 31 Aug 2016, 12:32 PM

I was trying to calculate the SPAN margin based on the rules stated on the exchange website for the following two cases , and I wasn’t able to tie out with the above calculator :

1) Short ATM call + Long future (same expiry) : Risk-wise this is the same as an ATM put, so am not sure why the SPAN margin changes at all. I understand there is execution risk, but I see nothing on the exchange website to account for this?

2) Short ATM call + Short ATM put : Technically the risk for any one shock does not increase when we go from a short call to a short straddle. So SPAN margin as per the calculation rules on the website should not change. But I read what you wrote elsewhere about execution risk, so I agree the SPAN should be higher. Just don’t see the rules to take care of this

Any light you can shed will be much appreciated 🙂

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