- SEBI will remove calendar spread margin benefits on expiry day for single-stock derivatives
- Margin calculations remain unchanged for all other expiries except contracts expiring that day
- The change aims to prevent sudden margin spikes after expiry when one leg of spread ends
Markets regulator Sebi on Thursday decided that calendar spread margin benefits will no longer be available on the day of expiry for single-stock derivative contracts expiring on that day, aligning their treatment with existing norms for index derivatives.
Under the revised framework, margin calculations for calendar spreads will remain unchanged for all other expiries. However, positions involving a contract expiring on a given day will not be eligible for offsetting margin benefits on that expiry day, Sebi said in a circular.
The move is aimed at preventing sudden spikes in margin requirements after expiry, when one leg of a calendar spread ceases to exist.
It is also intended to give trading members and clients adequate time to arrange additional margins or roll over or close positions on the expiry day itself.
"On the basis of reference received from trading member(s) with regard to possible risks emanating from calendar spread benefit on expiry day for single stocks and subsequent deliberations with Secondary Market Advisory Committee (SMAC) of Sebi, it is decided that, the benefit of offsetting positions across different expiries shall not be available on the day of expiry for contracts expiring on that day for single stock derivatives," the regulator said.
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The decision follows concerns raised by trading members and deliberations within Sebi's Secondary Market Advisory Committee.
The revised norms will come into effect three months from the date of the circular, or May 5, 2026.
Spread margin refers to the reduced margin requirement permitted by exchanges when a trader holds two offsetting derivative positions across different expiries or contracts, known as a spread.
Since the risk of loss is lower compared with a single, directional position as gains in one leg can partially or fully offset losses in the other, the exchange requires a smaller margin as collateral.
(This story has not been edited by NDTV staff and is auto-generated from a syndicated feed.)
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