Additional margins are blocked for your existing long option position if the moneyness of the contract turns from out-of-the-money (OTM) to in-the-money (ITM). As per the
physical settlement policy,
all ITM positions require you to maintain physical delivery margins in the last week of expiry. The exchange charges physical delivery margins as a percentage of applicable margins
(VaR + ELM + Adhoc margins)
of the underlying stock, which are levied from expiry minus 4 days for long ITM options in the following manner:
| Day (BOD-Beginning of the day) | Margins applicable |
| E-4 Day (Wednesday BOD) | 10% of VaR + ELM +Adhoc margins |
| E-3 Day (Thursday BOD) | 25% of VaR + ELM +Adhoc margins |
| E-2 Day (Friday BOD) | 45% of VaR + ELM +Adhoc margins |
| E-1 Day (Monday BOD) | 25% of the contract value |
| Expiry day (Tuesday BOD) | 50% of the contract value |
The change from OTM to ITM may happen quickly if there is volatility in the underlying stocks. You are advised to maintain sufficient margins. If you do not maintain sufficient margins, it will lead to a shortfall and margin penalty, and your positions may be squared off.