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How do I calculate physical delivery margin?

As per the exchange, users having open positions of long/buy ITM options (calls & puts) have to maintain sufficient delivery margins. This margin can be calculated using strike price and the total number of positions. 

Total delivery margin (applicable margin) = VAR margin + ELM + ad hoc margin,
where VAR is Value at Risk Margin & ELM is Extreme Loss Margin 

Example:
Rahul had +500 buy positions of Reliance 30 Sep 2500 Call, expiring on 30 Sep with a strike price of ₹2,500. As per the exchange, Rahul must maintain 10% of delivery margin in his Groww Balance on 24 Sep leading up to expiry. The delivery margin for this can be calculated using the NSE margin calculator.

Symbol - Reliance Industries Limited
Quantity - 500
Total delivery margin (applicable margin) = ₹1,92,961.67
And, 10% of Delivery margin = ₹19,296.167

So, Rahul must maintain ₹19,296.167 in his Groww Balance leading up to expiry.


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