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.

To read our previous detailed article on Removal of Calendar Spread Margin Benefit on expiry day for Index Derivatives, click here.

In this article, we break down what has changed, how margins will be computed, and what it means for your trading strategies.

What is Changing?

As per SEBI’s circular dated February 5, 2026, calendar spread margin benefit will not be available for single-stock derivatives on the day of expiry for contracts expiring that day.

Simply put:

If you are holding a calendar spread in Stock Futures or Options (for example, long near-month and short next-month contract), the expiring leg will not get offset margin benefit on expiry day.

This aligns stock derivatives treatment with the earlier framework implemented for index derivatives.

Detailed Margin Impact:

The exchanges have clarified the implementation in both SPAN Margin and Extreme Loss Margin (ELM) frameworks:

On expiry day: Stock Futures positions in expiring contracts will not be granted calendar spread treatment & No ELM offset will be available from the start of expiry day

This means margin requirements may increase sharply if spreads are carried into expiry.

Let’s understand this with an illustration:

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

Why This Change?

The key objectives can be summarized as below:

• Reduce systemic risk concentration on expiry day
• Prevent artificial margin compression near settlement
• Strengthen risk management frameworks in volatile expiry sessions
• Align stock and index derivatives margin treatment

Expiry days often witness high volatility and concentrated unwinding activity. Removing offset benefits helps ensuring better margin sufficiency during these critical sessions.

Who Will Be Most Impacted?

This change is especially relevant for:

• Calendar spread traders in stock derivatives
• Roll-over traders carrying positions into expiry
• Arbitrage desks
• High-leverage positional traders

If spreads are not squared off or rolled over before expiry day, margin spikes may occur.

Final Takeaway:

From May 04, 2026, on expiry day, expiring stock derivative contracts will not receive calendar spread margin benefit. This is a structural risk-management enhancement and may lead to higher margin requirements for traders carrying spreads into expiry. Hence, traders are recommended to:

• Monitor margin requirements one day prior to expiry
• Consider rolling over positions before expiry day
• Avoid relying on spread benefit on expiry morning
• Keep additional margin buffer to prevent shortfall penalties

Pro Tip: You may use Margin Calculator on ICICI Direct’s website to estimate your margin requirements for Index & Single-Stock Derivatives and avoid any last-minute surprises.

References:

SEBI circular ref. no. HO/47/15/11(2)2025-MRD-TPD1/ I/4226/2026 dated February 05, 2026

NSE circular NCL/CMPT/72659 dated February 05, 2026

BSE/ICCL notice no. 20260210-46 dated February 10, 2026

NSE circular NCL/CMPT/72906 dated February 20, 2026