Additional Margin to be charged for Physical settlement of Equity derivatives (BSE & NSE Derivatives)
Due to compulsory physical settlement in Stock Futures and Stock Options, Clearing Corporation face risk for collecting higher margin at the time of expiry date.
Exchange / Clearing Corporation charges physical delivery margin as a percentage of Underlying stock which is levied from expiry minus 4 days for long ITM options. To handle the same in BEST, additional margin will be charged for stock Option Net Long ITM contracts as below:-
For E-4 days 10% of (VAR + ELM + Adhoc Margin of Underlying Asset * Qty * Strike Price)
For E-3 days 25% of (VAR + ELM + Adhoc Margin of Underlying Asset * Qty * Strike Price)
For E-2 days 45% of (VAR + ELM + Adhoc Margin of Underlying Asset * Qty * Strike Price)
For E-1 day 70% of (VAR + ELM + Adhoc Margin of Underlying Asset * Qty * Strike Price)
E day 100% of (VAR + ELM + Adhoc Margin of Underlying Asset * Qty * Strike Price)
Above will be over and above of Premium charges. It is applicable only for stock Option Net Long ITM contracts. For identification of ITM contracts, beginning of the day file will be considered and again End of the file will be considered.