How will you get a hedge margin benefit?

How will you get a hedge margin benefit?

With effect from 1st June 2020, NSE’s new Margin Policy Framework has structurally changed how margins are calculated. The reduction in margin requirement for several hedged options strategies with the least risk potential has been reduced to almost 70% of what was required earlier (depending on the position).

Example: If you sell nifty futures and buy a call option to hedge.

Sell Nifty Future qty 25 at 23724

Buy NIFTY CE qty 25 of strike price 23700

The required margin for this strategy: -

Span Margin 30

Exposure Margin 11862

Total Amount Required 11892

Margin Benefit 54977

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