The Securities and Exchange Board of India (SEBI) on February 05, 2026, issued the notification regarding the Review of Calendar Spread margin benefit in Single stock derivatives on expiry day.
The following has been stated namely: -
• SEBI Master Circular (Dec 30, 2024) allows calendar spread margin benefits in derivatives, but index derivatives do not get this benefit on the expiry day for contracts expiring that day.
• Based on inputs from trading members and deliberations with SEBI’s SMAC, it is decided that single stock derivatives will also not receive calendar spread benefit on the expiry day for contracts expiring that day.
• Calendar spread margin treatment remains unchanged for positions involving expiries other than the contract expiring on a given day.
• On the current month expiry day, spreads involving the expiring contract + next/far month will not get calendar spread benefit, while spreads between next and far month will continue to get the benefit.
• This change aligns single stock derivatives with index derivatives, reduces expiry-day risk, and gives trading members and clients time to arrange margins, roll over, or close positions, avoiding sudden post-expiry margin spikes.
This shall come into force on February 05, 2026.
[Notification No. HO/47/15/11(2)2025-MRD-TPD1/ I/4226/2026]
