The Indian Clearing Corporation Limited (ICCL) on April 22, 2026, issued circular regarding the Calendar Spread margin benefit for Single Stock Derivatives on expiry day.
The circular informs members about changes to margin benefits for Single Stock Derivatives (SSDs) on the expiry day, in line with SEBI and ICCL directives. Specifically, it removes the benefit of offsetting positions (calendar spread margin benefit) across different expiries for contracts that are expiring on that day.
Under the revised SPAN margin framework, a two-tier structure will apply on expiry days: one tier for contracts expiring on the same day (T day), and another for contracts with later expiries. On non-expiry days, the existing single-tier structure covering all expiries will continue. Additionally, the “dspread” tag will exclude any combinations involving the nearest expiry on expiry day, effectively removing spread benefits for those contracts.
Further, under Extreme Loss Margin (ELM), calendar spread benefits will not be available for positions in contracts expiring on that day. These positions will be treated independently from the start of the expiry day, increasing margin requirements.
These changes will come into effect from the beginning of the day on May 4, 2026.
[Notice No. 20260422-6]
