BANKNIFTY short straddle margin
A short straddle sells a call and a put at the same strike, at the money. It earns the premium of both if BANKNIFTY stays close to that strike, and loses as it moves away in either direction.
Margin for this trade
Margin data as of (NSE file)
| BasketExpiry | SPAN | Exposure | Option value | Premium | Stocks, minimums and 5% buffer | Total |
|---|---|---|---|---|---|---|
Short straddle (sold ATM call and put) NSE F&O file of 30 Oct 2026
| ₹1,02,978 | ₹65,624 | ₹48,755 | ₹0 | ₹10,868 | ₹2,28,225 |
Expiry
- Short straddle (sold ATM call and put) NSE F&O file of 30 Oct 2026
- Sell BANKNIFTY 54,700 CE, 1 lot (30 units)
- Sell BANKNIFTY 54,700 PE, 1 lot (30 units)
- SPAN
- ₹1,02,978
- Exposure
- ₹65,624
- Option value
- ₹48,755
- Premium
- ₹0
- Stocks, minimums and 5% buffer
- ₹10,868
- Total
- ₹2,28,225
≈ approximate Per basket, at the exchange’s reference prices, on the nearest expiry all legs share. Option value is the value of sold options less the credit for bought ones. The 5% buffer rounds the estimate up.
Margined one by one, these legs would need ₹3,77,764: together they need ₹1,49,539 less.
Worked out from the margin files NSE, BSE and MCX publish each day (SPAN, VaR and exposure rates), then rounded up by 5% to stay on the safe side. Your broker can ask for more: ad hoc or delivery margins, its own intraday leverage, or a higher figure during peak-margin checks. Use it to plan a trade, and check the order window before you place it.
How this margin works
Its margin is lower than the two options sold separately. The call loses when the index rises and the put when it falls, so in any one SPAN scenario only one side is losing badly. The exchange margins the worst scenario of the pair, not the sum of each leg’s worst case. Exposure margin is charged on both sold options, and their current value is added to the requirement.
BANKNIFTY moves more than NIFTY, so its SPAN scan range is wider and a straddle needs more margin per lot. The table uses the nearest expiry and the strike closest to the reference price in the exchange file. On expiry day, sold options carry an extra exposure margin under SEBI’s 2024 rules.
The figures follow the calculator’s method: SPAN and exposure from the clearing corporation’s files, option value and premium, and a 5% buffer.
BANKNIFTY short straddle questions
Why is a short straddle cheaper to margin than the two legs alone?
The sold call and sold put lose in opposite scenarios. SPAN takes the worst loss of the combined position, which is smaller than adding each leg’s worst loss. The difference is the hedge benefit shown under the table.
Can I reduce the margin of a short straddle?
Yes, by buying protection: an out-of-the-money call and put turn it into an iron fly, which caps the loss and cuts the margin sharply. Add the wings in the calculator to compare.
Sources
- Peak margin: SEBI circular SEBI/HO/MRD2/DCAP/CIR/P/2020/127, 20 July 2020 (framework to verify upfront collection of margins), listed among SEBI circulars; and Collection and reporting of margins in the cash segment, SEBI, 31 July 2020.
- Expiry-day exposure margin on short options: Measures to strengthen the equity index derivatives framework, SEBI, 1 October 2024 (effective 20 November 2024).
- NSE F&O and cash margins: NSE Clearing margins and NSE Clearing SPAN.
- BSE F&O margins: Indian Clearing Corporation margins and its risk parameter files.
- MCX margins: the daily SPAN risk parameter file published by MCX Clearing Corporation (MCXCCL), on its risk management pages.
Figures updated . Method and text reviewed by the Cirrus team on .
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