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    Everything You Need to Know About CAS Before August 3, 2026
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    New Updates In Futures & Options

    What is the impact of removal of Calendar Spread Margin benefit for single-stock derivatives on expiry day?

    Following the earlier regulatory changes in Index Derivatives, SEBI has now extended the Removal of Calendar Spread Margin Benefit on expiry day for Single-Stock Derivatives as well. Exchanges and Clearing Corporations, have also issued circulars detailing the implementation framework.

    This change will come into effect from May 04, 2026, and will significantly impact traders who carry calendar spread positions in stock futures and options into expiry day.

    Let’s understand this with an illustration:

    Suppose you hold

    On normal days

    On expiry day

    (Feb contract expiring)

    Long ABC February Futures (expiring today)

    Short ABC March Futures

    • Calendar spread margin benefit applies
    • Lower SPAN + ELM due to offset
    • No calendar spread margin benefit
    • February leg treated as standalone exposure
    • Higher margin requirement

     On non-expiry days, regular calendar spread treatment continues as usual.

    Removal of Calendar Spread Margin Benefits on Expiry Days 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?