The Securities and Exchange Board of India (SEBI) issued a circular directing stock exchanges and clearing corporations (excluding commodity derivatives exchanges and clearing corporations) to remove the calendar spread margin offset on the expiry day for single stock derivatives contracts expiring on that day. The change aligns single stock derivatives with the existing treatment for index derivatives. Calendar spread margin calculations otherwise remain unchanged: spreads involving expiries other than the contract expiring on a given day continue to receive calendar spread treatment, while spreads that include the expiring leg do not receive the benefit on that expiry day. The circular takes effect three months from its date. Stock exchanges and clearing corporations are instructed to implement the necessary systems changes and make any required amendments to relevant bye-laws, rules and regulations.
Securities & Exchange Board of India 2026-02-05
Securities and Exchange Board of India withdraws calendar spread margin benefit on expiry day for expiring single stock derivatives contracts
The Securities and Exchange Board of India (SEBI) has directed stock exchanges and clearing corporations to eliminate the calendar spread margin offset on the expiry day for single stock derivatives contracts, aligning them with index derivatives. This change, effective in three months, requires exchanges and corporations to update systems and amend relevant regulations.