Lot granularity and the 1% rule for a cash-plus-futures pair

On 1 Jul 2026 a trader wants to buy HDFC Bank for delivery at ₹796.15 and sell ICICI Bank July futures at ₹1,386.90 (lot size 700), with the log hedge ratio $b = 1.1143$ (₹$b$ of ICICI Bank per ₹1 of HDFC Bank). The spread stop is one formation standard deviation, $\sigma = 0.05356$, away from entry, so $1R = N^{\text{HDFC}}\sigma$ where $N^{\text{HDFC}}$ is the rupee notional of the HDFC Bank leg. The account is ₹10,00,000 and the plan risks $f = 1\%$. (a) With one ICICI Bank lot, how many HDFC Bank shares (nearest whole share) match the hedge ratio? (b) What is the rupee risk to the stop, and what percentage of the account is it? (c) How many ICICI Bank lots does (3.23) allow? (d) What account size would make one lot exactly a 1% risk? (e) At exactly 1% risk, what HDFC Bank notional is allowed, and what fraction of an ICICI Bank lot would the hedge need? (f) Name two ways an individual could implement the 1% position in India, and the cost or risk each adds.