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. This applies to both futures and options. For example, buying Reliance May futures and selling Reliance June futures, or buying a Reliance May call option and selling a Reliance June call option of the same strike, both qualify as calendar spreads. 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.

Futures example: Say you’re holding a Reliance May–June futures calendar spread.

• Margin for a single Reliance futures contract: approximately ₹1.3 lakh per lot
• Margin for the May–June spread (with benefit): approximately ₹26,000 per lot
• Margin for the same spread on May’s expiry day (without benefit): approximately ₹2.6 lakh per lot

That’s a jump of roughly 10x on expiry day alone.

Options example: Say you’re holding a Reliance May–June calendar spread using call options of the same strike.

• With the spread benefit, the combined margin is significantly lower since the positions hedge each other
• On May’s expiry day, this benefit is removed and full margin is applicable on each leg independently

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
  
  Most importantly – make sure you either square off the expiring leg or keep sufficient funds in your account to avoid Auto Square Off of your position and any penalties.