India
NRI
Margin blocked will be addition of margin calculated for first leg order and maximum loss as per second leg order. Margin is computed using below formula:
Derivative Cover Buy order: Quantity * [(WAP of Best 5 Offers * Margin %) + (WAP of Best 5 Offers – Limit price of Cover Sell stop loss Order)]
Derivative Cover Sell order: Quantity * [(WAP of Best 5 Bids * Margin %) + (Limit Price of Cover Buy stop loss Order – WAP of Best 5 Bids)]
E.g. Suppose following are the best 5 bid and offer prices available and client places derivative cover buy order for 100 NIFTYFUT with limit price at Rs 8300, and say margin % for NIFTYFUT is 1%.
|
Best 5 bids |
Best 5 offers |
||
|
Qty. |
Price |
Qty. |
Price |
|
50 |
8401.90 |
50 |
8407.00 |
|
50 |
8401.80 |
50 |
8407.50 |
|
25 |
8401.50 |
25 |
8408.00 |
|
25 |
8401.00 |
25 |
8409.00 |
|
50 |
8400.00 |
50 |
8410.00 |
|
Qty. |
Price. |
Value |
|
50 |
8407 |
420350 |
|
50 |
8407.5 |
420375 |
|
25 |
8408 |
210200 |
|
25 |
8409 |
210225 |
|
50 |
8410 |
420500 |
|
Sum = 200 |
|
Sum = |
|
1681650 |
||
|
|
WAP of Best 5 Bids = (1681650/200) = 8408.25
Derivative Cover Buy order margin =100 *[(8408.25 * 1%) + (8408.25 - 8300)] = 19233.25
