The Indian Clearing Corporation Limited (ICCL) on April 17, 2026, notified regarding the Calendar Spread margin benefit for Single Stock Derivatives on expiry day.
The following has been stated:
• Pursuant to directions from the Securities and Exchange Board of India, it has revised its margin framework for Single Stock Derivatives. From May 4, 2026, calendar spread margin benefits (offsetting positions across expiries) will not be available on the expiry day for contracts expiring that day.
• Accordingly, changes have been made in SPAN margin and Extreme Loss Margin (ELM) calculations, ensuring that expiry-day positions are treated separately and do not receive spread benefits, thereby increasing margin requirements on such contracts.
[Notification no. - 20260417-19]
