Wait until 2nd of April when portfolio margining is introduced should go down to near SPAN rates. http://elitetrader.com/vb/showthread.php?s=&postid=1358733#post1358733
Doesn't matter who you use, they are going to have a huge margin requirement if you are selling OEX options naked. The only way to solve the problem is to buy another option to hedge like I said in my example.