Directional signal with a confirmation filter, one position at a time, flat by the close. Exits on a signal reversal or the 15:15 bell; a few sessions close on an EOD exit.
| INDEX | SIZE | MARGIN (TYPICAL) | 95th PCTILE |
| FINNIFTY | 1 lot × 65 | ₹2,07,870 | ₹2,19,960 |
| MIDCPNIFTY | 1 lot × 120 | ₹1,96,560 | ₹2,10,960 |
| NIFTY | 1 lot × 75 | ₹2,23,650 | ₹2,34,900 |
| Peak concurrent | ₹6,58,140 | 2025-12-01 |
How these are derived. Margin is taken at 12% of ATM notional — the usual SPAN + exposure band for a naked short index option — on strikes and lot sizes from the last twelve months (2025-07-30 to 2026-07-30). Because the strategy holds one position per index and the legs overlap on the clock, the binding number is peak concurrent margin (₹6,58,140), not the sum of the individual legs.
To that we add the cash that has to be sitting there and not working: the worst single day on record (₹27,600) for the minimum, and the worst peak-to-trough drawdown (₹81,025) for the comfortable figure, with margin stressed 1.4× because SPAN rises exactly when the drawdown arrives.
Read this before sizing. Below the minimum you are not running this strategy — you are running a smaller, worse version of it, because a rejected order on a margin shortfall is a signal missed, and the misses are not random: they cluster right after losses. Margin is set by the exchange and broker and changes without notice; these are working estimates, not quotations. Lot sizes are revised periodically and have already risen over the backtest window, so treat the requirement as a floor that drifts upward.