Hello Traders
SEBI has issued a new circular regarding Calendar Spread margin benefit for Single Stock Derivatives on expiry day. This is practically applicable from 26th May 2026. This is an important operational and margin-related change for traders who carry calendar spread positions in stock futures & options.
Currently, traders get margin benefit when they hold offsetting positions across different expiries of the same stock contract.
Example:
- Buy current month future
- Sell next month future
Since both positions partially hedge each other, exchanges provide calendar spread margin benefit, reducing the overall margin requirement.
Under the new circular, this benefit will NOT be available on the expiry day for positions involving the expiring contract.
If you hold:
- Current month + Next month spread
OR - Current month + Far month spread
then on the current month expiry day, the spread margin benefit will be removed.
However:
- Next month + Far month spreads will continue to receive the benefit on that day because neither contract is expiring that day.
According to SEBI, this is being implemented to reduce expiry-day risk and align Single Stock Derivatives with the existing framework already followed for Index Derivatives. The regulator highlighted that once one leg of the spread expires, the remaining open position can suddenly become directional and risky. This may lead to sharp margin increases and potential shortfalls for brokers and traders.
If you trade stock futures calendar spreads or expiry strategies:
- Margin requirements on expiry day can increase sharply
- Positions involving expiring contracts may require additional funds
- Existing spread strategies may need earlier rollover planning
- Intraday margin utilisation can also get impacted
This becomes especially important for traders running leveraged positional strategies near expiry. We recommend traders using stock calendar spreads to review their expiry-day margin planning accordingly.