India’s market regulator SEBI has changed margin rules for traders in single stock derivatives. The calendar spread margin benefit will no longer be available on the expiry day for contracts that expire on that day. This rule brings single stock derivatives in line with index derivatives.
What Has SEBI Announced?
SEBI has said that traders will not get margin relief from calendar spreads on the expiry day of a single stock derivative contract if one leg of the spread expires that day.
Earlier, traders could offset positions across different expiry months and get lower margin requirements. Now, this benefit is removed on expiry day for the expiring leg.
What Is a Calendar Spread?
A calendar spread is a strategy where a trader takes opposite positions in the same stock derivative but with different expiry dates. This usually reduces risk and lowers margin because positions offset each other.
What Changes on Expiry Day?
On the expiry day of a single stock derivative contract:
- No calendar spread margin benefit if one leg of the spread expires that day
- Full margin may be required for the expiring contract
- Traders may need to add extra funds or close or roll over positions
Example
If contracts expire on:
- 29th – Current month
- 30th – Next month
- 31st – Far month
On 29th (current month expiry day):
- Spreads between 29th and 30th → No margin benefit
- Spreads between 29th and 31st → No margin benefit
- Spreads between 30th and 31st → Margin benefit continues
Why Did SEBI Make This Change?
SEBI said this step reduces sudden risk in the market. When one leg of a spread expires, the remaining position becomes open and can face sharp price moves. Without this rule, margin could rise suddenly the next day, causing stress for traders and brokers.
The change gives traders time to arrange funds or adjust positions before expiry risk builds.
Does This Affect All Derivatives?
No. This rule applies to single stock derivatives. Commodity derivatives exchanges and clearing corporations are not covered under this circular.
When Will the New Rule Start?
The rule will take effect three months from February 5, 2026.
What Should Traders Do Now?
- Review open calendar spread positions in single stock derivatives
- Plan for higher margin on expiry day
- Consider rolling over or closing positions earlier
- Keep extra funds ready to avoid margin shortfall
SEBI has removed the calendar spread margin benefit on expiry day for single stock derivatives when one leg expires that day. Traders will need to maintain full margin for the expiring contract. The rule starts three months from February 5, 2026.
