For In-The-Money (ITM) options, the Exchange imposes physical delivery margins starting four days prior to expiration to ensure clients meet their physical delivery obligations. These margins are progressively increased as expiration approaches and are calculated based on:

• Value-at-Risk (VaR)
• Expected Loss Margin (ELM)
• Ad-hoc Margins (if applicable)

The margin requirements for ITM options are as follows:

Example:

Assume the following for a client holding ITM options on stock ABC with a calculated VaR of 10%, ELM of 5%, and an Ad-hoc margin of 3%:

Penalty Imposition: A penalty will be levied for the shortfall in margin. For instance, if the client maintains only ₹3,000 on E-3 Day (Monday), they fall short by ₹1,500 (₹4,500 required - ₹3,000 available). The penalty will be calculated based on the shortfall amount and exchange norms.

Steps to Avoid Penalties:

1. Ensure adequate funds are maintained as margins increase progressively toward expiration.
2. Act promptly on margin calls or updates sent through Margin Statement
3. Avoid last-minute fund transfers to prevent non-compliance or penalties.