SEBI has removed the calendar spread margin benefit for single-stock derivatives on the expiry day of either leg. If you trade stock futures or options spreads across different expiries, this change directly affects how much margin you need to keep available on expiry day.
Understanding Calendar Spread Margin
A calendar spread is when you hold two positions in the same stock’s F&O contracts but across different expiry months for example, buying Reliance May futures and selling Reliance June futures at the same time. Because the two positions offset each other to some extent, exchanges allow a lower margin requirement for the combined position.
Earlier, this reduced margin applied even on the day one of the contracts was expiring. That is no longer the case.
The Change
If one leg of your calendar spread is expiring that day, the spread will no longer qualify for the margin benefit.
Here’s what that means in numbers:
- Margin for a single Reliance futures contract: approximately ₹1.3 lakh per lot
- Margin for a May–June calendar spread (with benefit): approximately ₹26,000 per lot
- Margin for the same spread on expiry day (without benefit): approximately ₹2.6 lakh per lot
That’s a jump of roughly 10x on expiry day alone. If neither contract is expiring, the spread margin benefit continues to apply as usual.
Steps to Take
- Check your open spreads before the expiry date of the near-month contract
- Either close the expiring leg before expiry day or ensure the additional margin is available in your account
- If you typically roll over positions, plan to do it a day before expiry to avoid the margin spike
- For stock contracts nearing expiry, physical delivery margins also apply separately
Easy & quick
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