What are the margins required for Calendar spreads?

General
2

Hi Sam,

A Calendar Spread involves trading simultaneously in Futures or Options of the same underlying with different expiries where you are long on one month’s contract and are short on the other month’s contract.

The margins for a Calendar spread are lower based on the assumption that the price moves correlate across the contract months.

The margins that would be charged for a Calendar Spread is normally One side margin for the position you take (+) Calendar Spread charge. The Calendar Spread charge is charged because the price moves across months do not exhibit perfect correlation.

All these computations are made using the SPAN calculator. Zerodha has simplified the computation through a SPAN calculator that they offer: https://zerodha.com/margin-calculator/SPAN which allows you to computer margins fairly easily.

5 Likes
3

Calender spread is taking position on same security with different maturity period. Generally margin required for these positions will be only for one side that is for the position which requires higher margin.

Example: Going Long on March Future and Short on April Future this is a calendar spread. Suppose margin required for April is 26,000 and margin required for March is only 25,000 then you should have only Rs. 26,000 to take this calendar spread position.

1 Like