Double Calendar

Options Advanced NIFTY BANKNIFTY FINNIFTY Stock Options

Range-Bound with uncertainty on exact price level

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Quick Reference

Strategy Type Neutral - Dual Time Spread
Market Outlook Range-Bound with uncertainty on exact price level
Risk Profile Limited to Total Net Debit
Reward Profile Maximum at either strike, moderate in valley between
Time Horizon 3-7 days for weekly double calendars
Capital Requirement Net debit Rs.80-120 per lot for weekly structure
Best Used When Confirmed range with support/resistance, low IV (VIX below 14), uncertain whether price stays at lower or upper end of range

When to Use This Strategy

Confirmed range with support/resistance, low IV (VIX below 14), uncertain whether price stays at lower or upper end of range

India-Specific Notes

Nse Considerations

Trading Hours 9:15 AM - 3:30 PM IST
Weekly Expiry Thursday (NIFTY, BANKNIFTY, FINNIFTY)
Monthly Expiry Last Thursday of the month

Margin Framework

Type SPAN + Exposure Margin
Calendar Spread Benefit Reduced margin due to hedged position
Typical Margin Range ₹40,000 - ₹80,000 per lot for index options
Margin Calculator Use NSE SPAN calculator for exact requirements

Taxation

Stt On Premium 0.05% on sell side (options)
Stt On Exercise 0.125% on intrinsic value if ITM at expiry
Income Classification Business income for frequent traders
Gst On Brokerage 18% on brokerage charges

Liquidity Notes

Best Instruments NIFTY and BANKNIFTY weekly/monthly options
Avoid Deep OTM options in illiquid stocks
Optimal Strikes ATM and near ATM strikes for best liquidity
Bid Ask Spread Expect 1-3 points spread on liquid index options

Example Pricing

Typical Atm Premium Nifty ₹150-300 for weekly, ₹400-600 for monthly
Typical Atm Premium Banknifty ₹300-500 for weekly, ₹700-1200 for monthly

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