Circular No. HO/47/15/11(2)2025-MRD-TPD1/ I/4226/2026 dated 05.02.2026
The Securities and Exchange Board of India (SEBI) has tightened the margin framework applicable to single-stock derivatives by restricting the availability of calendar spread margin benefits on the expiry day for contracts expiring on that day.
This move aligns the treatment of single-stock derivatives with the existing margin framework for index derivatives and seeks to address potential risks arising on expiry days.
1. Withdrawal of Calendar Spread Margin Benefit on Expiry Day
Under the revised norms:
- Calendar spread margin benefits will not be available on the expiry day for positions involving the contract expiring on that day.
- The restriction applies only to calendar spreads that include the current expiry contract.
- The measure is aimed at mitigating heightened volatility, settlement risk, and sharp price movements typically observed on expiry days.
2. Margin Treatment for Other Calendar Spreads Remains Unchanged
SEBI has clarified that:
- Margin calculations remain unchanged for calendar spread positions involving expiries other than the current expiry.
- Calendar spread benefits will continue to apply to such positions, even on the day of the nearest expiry.
3. Illustrative Example
Assume monthly expiries fall on:
- 29th – Current month expiry
- 30th – Next month expiry
- 31st – Far month expiry
3.1 On 29th (Current Month Expiry Day):
3.1.1 Calendar Spread Benefit Not Available
- Positions involving 29th & 30th
- Positions involving 29th & 31st
3.1.2 Calendar Spread Benefit Continues
-
Positions involving 30th & 31st
Accordingly, only calendar spreads that include the expiring contract lose the margin benefit on its expiry day.
4. Effective Date
-
The circular shall come into force three months from the date of issuance.
Market participants are expected to update their margin systems and trading strategies in line with the revised framework.
5. Key Takeaway
The change:
- Harmonises margin treatment across single-stock and index derivatives
- Reduces expiry-day risk concentration
- Preserves margin benefits for non-expiring calendar spread positions
Click Here To Read The Full Circular
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