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    New Updates In Futures & Options

    Removal of Calendar Spread Margin Benefits on Expiry Days

    Starting February 10th, 2025 margin benefits for calendar spreads will no longer be available on expiry days.

    Example:

    1. If you short 24,000 call option for February 13th contract  and bought 24,000 call option for February 20th contract , the earlier margin requirement was ₹50,120 (due to the hedge, compared to a total margin of ₹1.83 lakh).

    2. From February 10th, on the expiry day (February 13th in this case), the margin benefit will be removed at the start of the day since the short option expires.

    3. As a result, clients must maintain the full margin of ₹1.83 lakh, failing which the position will be squared off.

    Key Impact:

    1. Previously, if clients squared off one leg of a hedge position, the margin requirement increased sharply, often triggering auto-square-off.

    2. This change is intended to reduce last-minute volatility by enforcing full margin requirements from the beginning of the day.

    Following are some illustrations:

    What is the removal of calendar spread? What is a calendar spread? How does the removal of margin benefit work on the day of expiry? Which contracts are affected due to removal of calendar spread? What will happen to my calendar spread on expiry day? Will this rule apply to Options Calendar Spread as well? How can traders manage this change? Where can I see my total margins for my positions one day before the expiry? If I am unable to bring the margin how my position will be impacted?