New margin framework is here - to benefit hedged positions

[ShubhS9]

I’ve explained here how margin benefit works on last two days of Expiry, you can give it a read…

Hedging and physical settlement

This is how it works on last two days of Expiry Week. Eg. You hold Short ITM 1800 Call and Long OTM 1880 Call of Reliance, current margin requirements for Shorting 1800CE are 271k and after buying 1880CE it comes down to 70k giving you margin benefit of 200k. On last two days of Expiry Week, margin requirement for ITM 1800CE will be twice of 271k ie. 542k, after factoring in 200k margin benefit you get for holding OTM 1880CE your margin requirement will be 542k - 200k = 342k. The calculatio…