Does SPAN margin increase for hedged positions due to increase in volatility?

F&O
1

Does SPAN margin increase for hedged positions due to increase in volatility?

For example, if I have a wide put credit spread in Nifty with the short PE at 14 delta and the long PE at 4 delta, how much increase in margin is to be expected in the following scenarios:

  • Index falls by several thousand points in a flash crash over a few days
  • Volatility spikes from current VIX levels of 12 to 80 as seen during the Covid crash

Just trying to figure out how much margin I should leave aside for a worst case scenario. These are fully hedged positions, albeit the hedge is far OTM and in the same expiry (not calendarized).

2

We can’t put exact number but if position is fully hedged increase in margin for spike in vix or crash would be not significant, on safer side cal always leave 10% free cash, can buy liquidcase and pledge it as it is cash equivalent collateral and also user can earn interest on it.

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