A sold straddle loses on a big move either way, so margin has to cover both sides

A sold straddle loses on a big move either way, so margin has to cover both sidesPayoff of the position at expiry and before expiry. Breakevens at 22,606 and 23,894. Maximum profit in the range ₹41,841, maximum loss ₹79,652; at least one end of the range is still sloping, so the true extreme lies outside it. Spot 23,215.Profit or loss, ₹ for the whole positionAt expiry2 days to expiry−₹75,000−₹50,000−₹25,000₹0₹25,000₹50,00022,00023,00024,000Nifty at expirySpot 23,215BE 22,606BE 23,894Max profit ₹41,841No floor
Profit and loss for one lot of a sold at the money straddle, at expiry and with 2 days left, using the 10 Jun 2026 settle prices on the 30 Jun 2026 chain. Margin is set against moves like these, not against the premium. Source: NSE end of day data, computed by RupeeCase. As of 10 Jun 2026.

There is no single figure for every trade. The margin for a sold Nifty option depends on the contract, the index level, the volatility and the day, and the exchange works it out from its own risk model. This page explains the parts so the number on a broker screen makes sense. It does not give an amount.

The core is the risk model, SPAN. It tests the position against a set of price and volatility moves and charges the worst loss it finds. SEBI's master circular of 30 Dec 2024 sets the largest price move tested for index contracts at no less than 9.3% of the index. On top sits the extreme loss margin, ELM, which is 2% of the notional value, the lot size times the previous close.

Two rules apply on expiry day, both from SEBI's circular of 1 Oct 2024. From 20 Nov 2024, short options expiring that day carry an extra 2% of ELM as tail risk cover, which takes the ELM on them from 2% to 4% of notional. From 1 Feb 2025, the calendar spread offset is removed for index contracts expiring that day, so a position spread across two expiries gets no offset between them.

Margin is a deposit against the worst case the model tested, not a cap on the loss. The chart shows a sold straddle losing on a big move either way, and the loss can grow past the margin. The number for an exact contract and day is the one the broker's margin screen shows. If the margin is not met, the broker can close the position at a loss.

Before you trade. Derivatives trading carries a high risk of loss. SEBI's study "Profitability of Individual Traders in the Equity Derivatives Segment (FY25 to FY26)" (August 2026) found that 87.7% of individual traders in equity F&O made net losses in FY26, with aggregate net losses of Rs 91,685 crore. Read the SEBI study