SEBI has issued a circular removing the calendar spread margin benefit for single-stock derivatives on the expiry day, where one leg of the spread expires on that day. This change aligns the margin treatment for single-stock derivatives with the existing framework for index derivatives.
What does this mean for traders?
On the expiry day, the calendar spread margin benefit will not be available if one leg of the spread expires that day. The expiring contract will be treated as a standalone position for margin calculation. This change applies only to single-stock derivatives.
What remains unchanged?
Margin calculations for calendar spreads involving only non-expiring contracts remain unchanged; the benefit continues for those positions even on expiry day.
For example, if monthly expiries are on 29th (current month), 30th (next month), and 31st (far month), then on the 29th:
- Spreads involving the 29th expiry will not receive the calendar spread benefit.
- Spreads between the 30th and 31st expiries will continue to receive the calendar spread benefit.
Effective date- The circular will come into effect three months from the date of issuance, i.e., May 5, 2026.
Why has SEBI made this change?
SEBI has stated that removing the benefit on the expiry day reduces the risk of sudden margin increases and operational challenges when one leg of a spread expires, giving traders and brokers adequate time to arrange additional margins or roll over/close positions.
Link to the full SEBI circular-