The Bombay Stock Exchange (BSE) on April 17, 2026, issued a notification regarding the Calendar Spread margin benefit for Single Stock Derivatives on expiry day.
The following has been stated: -
•As per SEBI and ICCL directives, calendar spread margin benefits will not be available for expiring single stock derivative contracts on the expiry day.
•The SPAN margin framework is revised to introduce a two-tier structure on expiry day and exclude nearest expiry combinations, while non-expiry days will continue with the existing structure.
•Additionally, expiring contracts will not receive calendar spread benefits under Extreme Loss Margin from the start of the expiry day.
•These changes will be effective from May 04, 2026, and members are required to ensure necessary system updates.
[Notification No.: 20260417-19]
