SEBI Removes Calendar Spread Margin Benefit for Single-Stock Derivatives on Expiry Day from May 05, 2026

SEBI has introduced an important change to the margin framework for single-stock derivatives. As per the circular released on Feb 05, 2026, traders will no longer receive calendar spread margin benefits on expiry day for positions where one leg of the spread expires that day (effective from May 05, 2026). 

The move brings single-stock derivatives in line with the existing rules for index derivatives and is aimed at improving risk management in the F&O segment.

What are Calendar Spread Margin Benefits?

A calendar spread involves taking opposite positions in the same stock contract across different expiries, for example, buying the current month futures contract and selling the next month futures contract.

Since the positions partially offset each other, exchanges currently offer lower margin requirements compared to holding two standalone positions. This reduction is known as the calendar spread margin benefit.

What Changes for Traders from May 05, 2026?

Until now, traders holding calendar spread positions (positions across different expiries of the same stock) could avail reduced margin benefits even on expiry day. 

Under the new SEBI rule, this benefit will no longer be available if one leg of the spread expires on that day. Traders carrying spread positions into expiry may therefore need to maintain additional margin buffers or roll over positions earlier than before.

Let’s Understand With an Example:

Suppose a trader creates a calendar spread position in Infosys futures:

• Buy 1 lot of April Infosys Futures
• Sell 1 lot of May Infosys Futures

Now assume the margin required for 1 Infosys futures contract is around ₹1.1 lakh per lot. Since  this is a calendar spread position, the trader currently receives a margin benefit and may need to maintain only around ₹22,000 - ₹25,000 per lot.

Right now, this lower margin benefit continues even on the April expiry day.

However, once the new SEBI rule comes into effect from May 05, 2026, the April - May Infosys spread will no longer receive the calendar spread benefit on the day the April contract expires, because one leg of the spread expires that day.

As a result, the margin requirement for the position may increase sharply from around ₹25,000 per lot to approximately ₹2.2 lakh per lot, since margins may then be charged separately for both the April and May contracts.

This rule applies similarly across different expiry combinations. For example, if the current-month contract expires on the 29th, the next-month contract on the 30th, and the far-month contract on the 31st:

• A spread involving the current-month and next-month contracts will not receive calendar spread margin benefit on the 29th expiry day.
• Similarly, a spread involving the current-month and far-month contracts will also not receive the benefit on the 29th.
• However, spreads involving only the next-month and far-month contracts will continue to receive the calendar spread benefit on the current-month expiry day, since neither contract expires that day.

Why has SEBI introduced this rule?

SEBI said the change addresses risks that arise when one leg of a calendar spread expires and the remaining position becomes exposed to market volatility.

Currently, traders continue receiving reduced margins until market close on expiry day. But once the near-month leg expires, the remaining open position may suddenly require much higher margins. This creates operational and settlement risks for brokers and clearing members, especially if clients fail to bring in additional funds after market hours.

According to SEBI, removing the benefit on expiry day itself will:

• Reduce sudden margin shocks
• Improve risk management during volatile expiry sessions
• Give traders time to either roll over, close positions, or arrange additional margins before expiry ends
• Align single-stock derivative treatment with index derivatives

Effective Date

The revised framework will come into effect from May 5, 2026, three months after SEBI issued the circular on February 5, 2026. Exchanges and clearing corporations have been directed to update their systems and risk frameworks accordingly.

Disclaimer: This news is solely for educational purposes. The securities/investments quoted here are not recommendatory.

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