CIRCULAR
HO/47/15/11(2)2025-MRD-TPD1/ I/4226/2026 February 5, 2026
To
All Stock Exchanges
All Clearing Corporations
(Except Commodity Derivatives Exchanges and Clearing Corporations)
Sir/Madam,
Sub: Calendar Spread margin benefit for Single Stock Derivatives on expiry
day
1. Chapter 5 of SEBI Master Circular dated December 30, 2024 for Stock
Exchanges and Clearing Corporations inter-alia provides stipulations for
calendar spread margin treatment in derivatives segment (Clause 1.2.6). At
present, for index derivatives, the benefit of offsetting positions across different
expiries ('calendar spread') is not available on the day of expiry for contracts
expiring on that day (Clause 1.2.7).
2. On the basis of reference received from trading member(s) with regard to
possible risks emanating from calendar spread benefit on expiry day for single
stocks and subsequent deliberations with Secondary Market Advisory
Committee (SMAC) of SEBI, it is decided that, the benefit of offsetting positions
across different expiries shall not be available on the day of expiry for contracts
expiring on that day for single stock derivatives.
3. It is clarified that the existing margin calculations for calendar spread positions
shall remain unchanged for calendar spread positions involving all expiries
other than the contracts expiring on a given day.
4. As an illustration, if monthly expiries are on 29th (current month), 30th (next
month) and 31st (far month) respectively, then calendar spread positions
involving positions expiring on 29th (current month) and 30th (next month), or
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29th (current month) and 31st (far month), shall not be provided calendar
spread treatment on 29th (current month expiry). However, calendar spread
positions involving positions expiring on 30th (next month) and 31st (far month)
shall continue to receive calendar spread treatment on 29th (current month
expiry).
5. The aforesaid would also align calendar spread treatment for single stocks
derivatives with that on index derivatives and would provide sufficient time to
the end clients / trading members to bring additional margin on the expiry day
or to roll over / close calendar spread positions on expiry day. In the absence
of such formulation, there remains a risk of sudden increase in margin on the
day following expiry of one leg of the calendar spread position with limited
recourse available to trading members in case of margin shortfall / open leg
showing significant adverse price movement.
6. This circular shall be effective from three months from the date of the circular.
7. Stock Exchanges and Clearing Corporations are directed to take necessary
steps to put in place systems for implementation of this Circular, including
necessary amendments to the relevant bye-laws, rules and regulations, if any.
8. This circular is being issued in exercise of powers conferred under Section 11
(1) read with 11(2)(a) of the Securities and Exchange Board of India Act, 1992
to protect the interests of investors in securities and to promote the
development of, and to regulate the securities market.
9. This circular is available on SEBI website at www.sebi.gov.in under the
category “Legal Circulars”.
Yours faithfully,
Darshil D. Bhatt
Deputy General Manager
Technology, Process Re-engineering, Data Analytics
Market Regulation Department
+91-22-26449735
Email: darshilb@sebi.gov.in
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