
Starting with tomorrow’s stock F&O expiry, calendar spread margin benefits will not be available on the expiry day of the near-month leg of stock F&O calendar spreads.
Here’s all you need to know. 👇
Calendar spreads let traders hold offsetting positions in F&O contracts across different expiries, which lowers margin requirements because the overall risk is lower. Until now, this margin benefit was available for single-stock derivatives even on the expiry day, including when one leg of the spread was expiring.
SEBI has now aligned this with index derivatives. On the expiry day, if one leg of a calendar spread is expiring that day, the spread will no longer receive margin benefits.
For example, suppose you create a calendar spread in Reliance futures by buying May futures and selling June futures.
The margin requirement for a single position is around Rs. 1.2 lakh. With the calendar spread benefit, the margin for the May–June spread is around ₹24,000.
Currently, even on the May expiry day, the position continues to get the calendar spread margin benefit. From this month’s expiry onwards, the May–June spread will not receive a margin benefit on the May expiry day.
This means the required margin can increase from ₹24,000 to roughly ₹2.4 lakh (₹1.2 lakh for each contract).
If you instead hold a June–July spread on that day, the margin benefit will continue, since neither contract is expiring.
The reason for this change is risk management. When the current month's contract expires, margins on the remaining open position can rise sharply. Removing the benefit on expiry day allows traders to adjust positions or bring in margins in time.
In addition, existing physical delivery margins continue to apply for stock contracts nearing expiry: support.zerodha.com/category/tradi…
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