This could be a little longish post but I guess it will be worth it.
Of course if someone can do a back test for a longer period and for both PE and CE , it may throw a clearer picture. of course nifty may be a different ball game altoge
in pursuant to your suggestion I did a small calculation, on the feasibility with calls on the Bank nifty options to future positions for intraday trading. Of course just a rough single day calculation and single a single option pricing is hardly what can be called conclusive but I will list a few points which i observed which will give trading in options a better edge than futures from what I see. The prices and other parameters are not absolute but you should be able to get the gist of what I am saying.
I was looking at the Delta value for the option strike consideration, now getting a 1 delta option would be too far off so I decided to look at a Delta value close to .8, and the take the price difference of 5 lots of bank nifty options VS 4 lots of futures i.e., 125 units of options to 100 units of futures, of course the variation in the futures premium I am not considering for the sake of calculation.
Considering the ATM strike as 28600 , the .8 delta strike I found was around 27800 and the option premium there was 850 rs.
If index moves apprx 500 points in our favour it would mean a profit of rs.500 * 100 = +50000 and vice versa
whereas when you consider the movement of options for the same point difference
a 500 point difference in the option value in our favour was 1325-850 = 475 *125 = 59375 ( since we have to take 5 lots into account)
and a 500 point movement against us gave a premium of 500 - 850 = -350 * 125 = -43750
these are just an approximation and not absolute. Andthey are from option buying only.
Coming to the margin requirment., 5 lots of bank nifty @ 850 would require about 1.1 lakhs even for overnight positions. whereas you can imagine the margin required for the bank nifty future , even if you are taking it with a hedge to benefit from the new sebi law. or with an intraday margin
so my vote for comfort and benefit stays with options , As usual this is what i calculated, i could be wrong , in case i am , i would like to know where.
if would be nice if some can get a back test done on both ce and pe for a longer period.
of course nifty may be a different ball game altogether