I was suggesting this as to avoid deliveries.
Say, I am Long SBI CE 240.
Let us say, SBI has moved up to 270, and on the expiry day, I am unable to sell my SBI CE240 at reasonable price as it has become deep in the money. That would mean taking delivery of SBI shares at 240.
Instead, sell SBI CE260, which has buyers.
I Contract Long SBI CE 240.
II Contract Short SBI CE 260.
The I contract results in delivery to me, and for the II contract, I need to deliver. So if these are netted, then there will not be any delivery.
I am looking at this as a possible way out of taking deliveries, and since I hold CE240, would there be a margin requirement to sell CE260, as there is no risk involved