ATM straddle execution


What is the best way for executing an ATM straddle in BANKNIFTY using API?
1. Selling CALL and wait for the order completion and Selling PUT after that.
2. Selling CALL and PUT together without waiting.

Which among the above two, requires less margin?

  • DD1365
    @YE3246 If you are not buying hedges for margin benefit then you can go with Option 2. I always sell Call and Put simultaneously as market orders using multithreading for all my client accounts when hedging isn't required. The total margin applicable is always same as the basket margin for the straddle.

    For the accounts where hedging is required, first I buy the hedges and after confirming completion status of the same, simultaneous short straddle orders are placed. Again in this case, total margin applied is same as the basket margin for hedged straddle.
  • ChandiniM
    @DD1365 Thanks for your reply.

    I tried to sell both the legs simultaneously but only one leg was executed and the other got rejected saying margin shortfall. This resulted in a huge loss, wiping out 3% of my capital in a very short span of time.

    How much margin do you maintain for BANKNIFTY ATM straddle? I have maintained 1.93L for 1 lot of straddle.
    I am attaching the basket margin screenshot, it shows 1.74L. I do not understand why my PUT leg got rejected.
    As per the status message received, it is asking 1.96L per straddle.

    @rakeshr @sujith Can you please throw some light on this why such a huge difference in the margin calculations?

    {'account_id': 'XXXXXX', 'unfilled_quantity': 0, 'checksum': '', 'placed_by': 'XXXXXX', 'order_id': '221004200489771', 'exchange_order_id': '1500000018150011', 'parent_order_id': None, 'status': 'COMPLETE', 'status_message': None, 'status_message_raw': None, 'order_timestamp': '2022-10-04 09:42:00', 'exchange_update_timestamp': '2022-10-04 09:42:00', 'exchange_timestamp': '2022-10-04 09:42:00', 'variety': 'regular', 'exchange': 'NFO', 'tradingsymbol': 'BANKNIFTY22O0639000CE', 'instrument_token': 9553666, 'order_type': 'MARKET', 'transaction_type': 'SELL', 'validity': 'DAY', 'product': 'MIS', 'quantity': 375, 'disclosed_quantity': 0, 'price': 0, 'trigger_price': 0, 'average_price': 320.00666667, 'filled_quantity': 375, 'pending_quantity': 0, 'cancelled_quantity': 0, 'market_protection': 0, 'meta': {}, 'tag': None, 'guid': '24560XtMTk6HmpHETY'}

    {'account_id': 'XXXXXX', 'unfilled_quantity': 0, 'checksum': '', 'placed_by': 'XXXXXX', 'order_id': '221004200489808', 'exchange_order_id': None, 'parent_order_id': None, 'status': 'REJECTED', 'status_message': 'Insufficient funds. Required margin is 2934900.17 but available margin is 2901925.00. Check the orderbook for open orders.', 'status_message_raw': 'RMS:Margin Exceeds,:2934900.17, Available:2901925.00 for entity account-XXXXXX across exchange across segment across product ', 'order_timestamp': '2022-10-04 09:42:00', 'exchange_update_timestamp': None, 'exchange_timestamp': None, 'variety': 'regular', 'exchange': 'NFO', 'tradingsymbol': 'BANKNIFTY22O0639000PE', 'instrument_token': 9554178, 'order_type': 'MARKET', 'transaction_type': 'SELL', 'validity': 'DAY', 'product': 'MIS', 'quantity': 375, 'disclosed_quantity': 0, 'price': 0, 'trigger_price': 0, 'average_price': 0, 'filled_quantity': 0, 'pending_quantity': 0, 'cancelled_quantity': 0, 'market_protection': 0, 'meta': {}, 'tag': None, 'guid': '24560XAao3BgezoyBG'}

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