I am currently implementing a Long Iron Condor strategy on Bank Nifty Options (Intraday) with the following strike positions on the expiry day, when the current market price is ₹51,365.70 (rounded to ₹51,400). The legs of the strategy are:
51500 CE Buy at ₹32
51700 CE Sell at ₹14.3
51100 PE Buy at ₹15.05
50900 PE Sell at ₹7.35
The required margin for this strategy is ₹31,522.
I would appreciate your assistance in understanding a few aspects:
SPAN and EXPOSURE Margin Calculation: How do I calculate the SPAN and EXPOSURE Margin while selling options? If there are predefined percentages or formulas available for these calculations, it would be helpful for me to understand them.
Margin Impact with Market Movement: If I enter the above positions at the market open (9:15 AM) and the market moves up or down by 1,000 points during the day, how would this impact the required margin for this strategy?
