Physical settlement of multileg strategy

F&O
1

  1. If I have ITM call option of Just dial on expiry day and I have short position of same scrip then do I attact any physical settlement. e.g. On expiry day the CMP of Just dial is 600 and I have ITM call option of 540 strike. Also I have short position in Just Dial @ 595. Then in such case when my net obligation to receive and deliver share is “zero”, then do I attract physical delivery of shares?

  2. I have query regarding physical settlement of stock options e.g. Just dial CMP on expiry is 595 For same expiry I have Long 520 CE (one lot) which is deep ITM & I have Long 620 PE (one lot) . Do I need to settle anything physically since net liability of receivable shares and deliverable shares is zero?

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Hey @Tushar_Rane

If you have 2 open positions on expiry that result in a net-off(Long futures and short call options, short put, and short future, etc) you are not required to give or take delivery for the position. However, there will be STT charged on the long position(s) as this is treated as notional delivery.

There will be margin blocked on both the positions

Please go through our policy here.

1 Like
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Dear Kshiteesh,

Thank you for your reply.

I went through policy 4 times. It gets confusing with lot of Jargons.

I suggest you to add lot of examples in the policy page to make it clear.

Also there was no mention in policy regarding multileg strategy.

I quote from your policy…

"For example, RCOM has a VaR+ELM of 23.22%. On E-4 day, the delivery margin will be 20% of the VaR+ELM which is 4.64% of the contract value. If you have RCOM 17.5 CE, you will be required to have Rs 22,755 (20% * 23.22%(VaR+ELM) * 28000(lot size * 17.5(Strike price)).

On the expiry day, you are required to maintain 80% of the contract value.

For ITM Put options, you need to hold deliverable shares(equal to the lot size of the contract) in your Demat Account on the day of expiry along with the applicable margins mentioned above."

Now this quote is not enough to understand about what will happen to option is net liability of deliverable and receivable shares is zero.

Thanks again.

1 Like
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Thanks for the feedback. We’ll add more examples and make the policy easier to understand.