Synthetics & risk reversals

Bullish

Debit or credit

Risk: Large below the put strike

Risk reversal

Also called: Combo, Short put + long call

Sell an out-of-the-money put to buy an out-of-the-money call: little or no net premium, a gain above the call, and a futures-like loss below the put.

Payoff sketch (per unit, index points)

At expiry

Today (7 days left)

Net premium

Debit 22 pts

Max profit

Unlimited above the chart

Max loss

Large as the price falls

Breakeven

25,222

Legs: Sell PE ATM −200 · Buy CE ATM +200. Illustration, not live prices: an index at 25,000, strikes 100 points apart, Black-Scholes premiums at 13% implied volatility, 7 days to expiry, 6.5% interest, no skew and before charges. Rupees per lot use a NIFTY lot of 65.

How it works

Between the two strikes nothing happens at expiry; outside them the position behaves like long futures.

Its net cost depends on the skew: index puts usually trade at higher implied volatility than calls, so the put sold often pays for the call bought and more.

When traders use it

A bullish view expressed without paying premium.
Trading the skew itself: the position is long the cheap side and short the rich side.

Greeks

Delta	Positive.
Gamma	Mixed: positive near the call strike, negative near the put strike.
Theta	Small.
Vega	Small at entry; changes in the skew matter more.

Profit, loss and margin

Max profit	Unlimited above the call strike.
Max loss	Large below the put strike.
Breakeven	Depends on the net premium: call strike + net debit, or put strike − net credit.
Margin	The short put's SPAN plus exposure.

In India

Short options are margined like futures: NSE Clearing's SPAN risk margin plus an exposure margin (2% of notional for index contracts, 3.5% for stocks in Arthfy's model). An at-the-money short option on NIFTY typically blocks well over a lakh of rupees per lot.
A long option that finishes in the money is exercised automatically. STT is then charged on its intrinsic value at the exercise rate (0.15% from 1 April 2026 in Arthfy's cost model), instead of the sale rate on the premium (also 0.15%) that applies when the option is sold before the close. See the lesson on the STT exercise trap.
STT is charged on the premium when an option is sold (0.15% of premium from 1 April 2026 in Arthfy's cost model). A short option left to expire, in or out of the money, is not charged STT again at settlement.
Stock options and stock futures are physically settled: an in-the-money stock option held through expiry becomes a delivery of shares (taxed and margined like a delivery trade, on the full value), so brokers often square such positions off in expiry week or raise margins. Index options are cash-settled.

Arthfy numbers

Arthfy's history does not cover risk reversals yet; its two legs appear separately on the short put and long call pages. See Short put (naked).

Try it in the F&O hub

Opens the tool with this structure on today's NIFTY chain. Reading is free with an Arthfy account; some runs use free attempts.

Open in the builderPayoff, Greeks, scenario grid and charges on today's NIFTY chain

Backtest since 2016Daily data, every NIFTY expiry

Replay on expiry daysMinute data since October 2024

Open the option chainLive premiums, IV and Greeks

Combinations

Seagull (bullish)