Physical Settlement of Multi-leg Option Strategy

[siva-reddy]

@AmitUM

One long call and one short call on the same underlying stock, both expire ITM. As per the above policy, these should be netted-off resulting in no delivery obligation. STT will have to be paid on the intrinsic value of the long call.

Right, both will be netted off. Yes, stt has to be paid on long ITM call.

@AmitUM

One long call and one short call on the same underlying stock, one expires ITM and the other expires OTM. There will be a physical settlement obligation on the ITM option. If this ITM option is the long one, STT will have to be paid on the intrinsic value thereof, but if it is the short one, STT would be charged to the counter-party.

Correct but now STT is not on total contract value, can check this for more.