test_nifty_hedge_margin.py

#!/usr/bin/env python
# -*- coding: utf-8 -*-
"""
NIFTY Futures and Hedged Options Margin Analysis
This script tests margin requirements for various NIFTY futures and options strategies
"""

from openalgo import api
from datetime import datetime
import json

# Initialize the API client
API_KEY = "7371cc58b9d30204e5fee1d143dc8cd926bcad90c24218201ad81735384d2752"
client = api(api_key=API_KEY, host="http://127.0.0.1:5000")

def format_margin(amount):
    """Format margin amount in Indian style"""
    if amount is None:
        return "N/A"
    return f"₹{amount:,.2f}"

def test_nifty_futures_standalone():
    """Test margin for standalone NIFTY futures"""
    print("\n" + "="*80)
    print("1. STANDALONE NIFTY FUTURES (NIFTY25NOV25FUT)")
    print("="*80)

    try:
        # Long futures position
        print("\n📈 LONG FUTURES (Buy 1 lot = 75 qty)")
        result = client.margin(positions=[{
            "symbol": "NIFTY25NOV25FUT",
            "exchange": "NFO",
            "action": "BUY",
            "product": "NRML",
            "pricetype": "MARKET",
            "quantity": "75"
        }])

        if result.get('status') == 'success':
            data = result.get('data', {})
            print(f"  Total Margin Required: {format_margin(data.get('total_margin_required'))}")
            print(f"  SPAN Margin: {format_margin(data.get('span_margin'))}")
            print(f"  Exposure Margin: {format_margin(data.get('exposure_margin'))}")
            long_futures_margin = data.get('total_margin_required', 0)
        else:
            print(f"  ❌ Error: {result.get('message')}")
            long_futures_margin = 0

        # Short futures position
        print("\n📉 SHORT FUTURES (Sell 1 lot = 75 qty)")
        result = client.margin(positions=[{
            "symbol": "NIFTY25NOV25FUT",
            "exchange": "NFO",
            "action": "SELL",
            "product": "NRML",
            "pricetype": "MARKET",
            "quantity": "75"
        }])

        if result.get('status') == 'success':
            data = result.get('data', {})
            print(f"  Total Margin Required: {format_margin(data.get('total_margin_required'))}")
            print(f"  SPAN Margin: {format_margin(data.get('span_margin'))}")
            print(f"  Exposure Margin: {format_margin(data.get('exposure_margin'))}")
            short_futures_margin = data.get('total_margin_required', 0)
        else:
            print(f"  ❌ Error: {result.get('message')}")
            short_futures_margin = 0

        return long_futures_margin, short_futures_margin

    except Exception as e:
        print(f"  ❌ Error: {str(e)}")
        return 0, 0

def test_long_futures_with_put_hedge():
    """Test margin for long futures hedged with long put (protective put on futures)"""
    print("\n" + "="*80)
    print("2. LONG FUTURES + LONG PUT (Protective Put Strategy)")
    print("="*80)
    print("Strategy: Buy NIFTY Futures + Buy ATM Put for downside protection")

    try:
        # Assuming NIFTY spot around 25000, using 25000 strike put
        positions = [
            {
                "symbol": "NIFTY25NOV25FUT",
                "exchange": "NFO",
                "action": "BUY",  # Long futures
                "product": "NRML",
                "pricetype": "MARKET",
                "quantity": "75"
            },
            {
                "symbol": "NIFTY25NOV2525000PE",  # ATM Put
                "exchange": "NFO",
                "action": "BUY",  # Long Put for protection
                "product": "NRML",
                "pricetype": "MARKET",
                "quantity": "75"
            }
        ]

        result = client.margin(positions=positions)

        if result.get('status') == 'success':
            data = result.get('data', {})
            print(f"\n  Combined Margin Required: {format_margin(data.get('total_margin_required'))}")
            print(f"  SPAN Margin: {format_margin(data.get('span_margin'))}")
            print(f"  Exposure Margin: {format_margin(data.get('exposure_margin'))}")

            print("\n  📊 Strategy Benefits:")
            print("  • Limited downside risk (max loss = futures entry - put strike + put premium)")
            print("  • Unlimited upside potential")
            print("  • Lower margin due to hedging benefit")

            return data.get('total_margin_required', 0)
        else:
            print(f"  ❌ Error: {result.get('message')}")
            return 0

    except Exception as e:
        print(f"  ❌ Error: {str(e)}")
        return 0

def test_short_futures_with_call_hedge():
    """Test margin for short futures hedged with long call (protective call on short futures)"""
    print("\n" + "="*80)
    print("3. SHORT FUTURES + LONG CALL (Protective Call Strategy)")
    print("="*80)
    print("Strategy: Sell NIFTY Futures + Buy ATM Call for upside protection")

    try:
        positions = [
            {
                "symbol": "NIFTY25NOV25FUT",
                "exchange": "NFO",
                "action": "SELL",  # Short futures
                "product": "NRML",
                "pricetype": "MARKET",
                "quantity": "75"
            },
            {
                "symbol": "NIFTY25NOV2525000CE",  # ATM Call
                "exchange": "NFO",
                "action": "BUY",  # Long Call for protection
                "product": "NRML",
                "pricetype": "MARKET",
                "quantity": "75"
            }
        ]

        result = client.margin(positions=positions)

        if result.get('status') == 'success':
            data = result.get('data', {})
            print(f"\n  Combined Margin Required: {format_margin(data.get('total_margin_required'))}")
            print(f"  SPAN Margin: {format_margin(data.get('span_margin'))}")
            print(f"  Exposure Margin: {format_margin(data.get('exposure_margin'))}")

            print("\n  📊 Strategy Benefits:")
            print("  • Limited upside risk (max loss = call strike - futures entry + call premium)")
            print("  • Profit from downward movement")
            print("  • Lower margin due to hedging benefit")

            return data.get('total_margin_required', 0)
        else:
            print(f"  ❌ Error: {result.get('message')}")
            return 0

    except Exception as e:
        print(f"  ❌ Error: {str(e)}")
        return 0

def test_synthetic_long():
    """Test margin for synthetic long (Long Call + Short Put at same strike)"""
    print("\n" + "="*80)
    print("4. SYNTHETIC LONG (Long Call + Short Put at 25000)")
    print("="*80)
    print("Strategy: Replicates long futures using options")

    try:
        positions = [
            {
                "symbol": "NIFTY25NOV2525000CE",
                "exchange": "NFO",
                "action": "BUY",  # Long Call
                "product": "NRML",
                "pricetype": "MARKET",
                "quantity": "75"
            },
            {
                "symbol": "NIFTY25NOV2525000PE",
                "exchange": "NFO",
                "action": "SELL",  # Short Put
                "product": "NRML",
                "pricetype": "MARKET",
                "quantity": "75"
            }
        ]

        result = client.margin(positions=positions)

        if result.get('status') == 'success':
            data = result.get('data', {})
            print(f"\n  Combined Margin Required: {format_margin(data.get('total_margin_required'))}")
            print(f"  SPAN Margin: {format_margin(data.get('span_margin'))}")
            print(f"  Exposure Margin: {format_margin(data.get('exposure_margin'))}")

            print("\n  📊 Strategy Characteristics:")
            print("  • Behaves exactly like long futures")
            print("  • P&L profile identical to futures")
            print("  • May have different margin requirements than futures")

            return data.get('total_margin_required', 0)
        else:
            print(f"  ❌ Error: {result.get('message')}")
            return 0

    except Exception as e:
        print(f"  ❌ Error: {str(e)}")
        return 0

def test_collar_strategy():
    """Test margin for collar strategy (Long Futures + Long OTM Put + Short OTM Call)"""
    print("\n" + "="*80)
    print("5. COLLAR STRATEGY (Long Futures + Long Put + Short Call)")
    print("="*80)
    print("Strategy: Long Futures + Buy 24500 Put + Sell 25500 Call")

    try:
        positions = [
            {
                "symbol": "NIFTY25NOV25FUT",
                "exchange": "NFO",
                "action": "BUY",  # Long futures
                "product": "NRML",
                "pricetype": "MARKET",
                "quantity": "75"
            },
            {
                "symbol": "NIFTY25NOV2524500PE",  # OTM Put
                "exchange": "NFO",
                "action": "BUY",  # Long Put for protection
                "product": "NRML",
                "pricetype": "MARKET",
                "quantity": "75"
            },
            {
                "symbol": "NIFTY25NOV2525500CE",  # OTM Call
                "exchange": "NFO",
                "action": "SELL",  # Short Call to finance put
                "product": "NRML",
                "pricetype": "MARKET",
                "quantity": "75"
            }
        ]

        result = client.margin(positions=positions)

        if result.get('status') == 'success':
            data = result.get('data', {})
            print(f"\n  Combined Margin Required: {format_margin(data.get('total_margin_required'))}")
            print(f"  SPAN Margin: {format_margin(data.get('span_margin'))}")
            print(f"  Exposure Margin: {format_margin(data.get('exposure_margin'))}")

            print("\n  📊 Strategy Benefits:")
            print("  • Limited downside (protected by put at 24500)")
            print("  • Limited upside (capped by call at 25500)")
            print("  • Very low margin due to full hedge")
            print("  • Often used for low-cost protection")

            return data.get('total_margin_required', 0)
        else:
            print(f"  ❌ Error: {result.get('message')}")
            return 0

    except Exception as e:
        print(f"  ❌ Error: {str(e)}")
        return 0

def main():
    """Run all margin tests and compare results"""
    print("\n" + "="*80)
    print("NIFTY FUTURES AND OPTIONS MARGIN ANALYSIS")
    print("Testing Date: " + datetime.now().strftime("%Y-%m-%d %H:%M:%S"))
    print("="*80)

    # Store results for comparison
    results = {}

    # Test standalone futures
    long_fut, short_fut = test_nifty_futures_standalone()
    results['Long Futures'] = long_fut
    results['Short Futures'] = short_fut

    # Test hedged strategies
    results['Long Futures + Put'] = test_long_futures_with_put_hedge()
    results['Short Futures + Call'] = test_short_futures_with_call_hedge()
    results['Synthetic Long'] = test_synthetic_long()
    results['Collar Strategy'] = test_collar_strategy()

    # Summary comparison
    print("\n" + "="*80)
    print("MARGIN COMPARISON SUMMARY")
    print("="*80)

    print("\n📊 Margin Requirements Comparison:")
    print("-" * 60)

    for strategy, margin in results.items():
        if margin > 0:
            print(f"  {strategy:<25}: {format_margin(margin):>20}")

            # Calculate savings compared to naked futures
            if strategy == 'Long Futures + Put' and long_fut > 0:
                savings = ((long_fut - margin) / long_fut) * 100
                print(f"  {'':25}  Savings vs naked long: {savings:.1f}%")
            elif strategy == 'Short Futures + Call' and short_fut > 0:
                savings = ((short_fut - margin) / short_fut) * 100
                print(f"  {'':25}  Savings vs naked short: {savings:.1f}%")

    print("\n" + "="*80)
    print("KEY INSIGHTS:")
    print("="*80)

    print("""
    1. NAKED FUTURES:
       • Highest margin requirement
       • Unlimited risk in adverse direction
       • Simple to execute

    2. HEDGED FUTURES (with protective options):
       • Significantly lower margin (often 30-50% less)
       • Limited risk due to option protection
       • Small premium cost for protection

    3. SYNTHETIC POSITIONS:
       • Can replicate futures payoff using options
       • May have different margin requirements
       • Useful when futures liquidity is low

    4. COLLAR STRATEGY:
       • Lowest margin due to full hedge
       • Both upside and downside are limited
       • Cost-effective protection strategy

    💡 IMPORTANT NOTES:
    • Margin benefits vary by broker (Angel One, Zerodha, etc.)
    • SPAN margin calculation considers portfolio risk
    • Hedged positions get margin benefit due to lower risk
    • Always check real-time margin before placing orders
    """)

    print("="*80)
    print("Analysis Complete!")
    print("="*80)

if __name__ == "__main__":
    main()