As per SEBI’s latest circular, the margin benefit for calendar spreads will no longer be available on expiry day. This applies only to index derivatives and does not impact stock derivatives. The margin benefit will continue on non-expiry days.

Impact on Margin Requirements

Currently, traders holding positions in different expiries receive a margin benefit. With this update, the hedge benefit will not apply on expiry day, leading to an increased margin requirement. If there’s a shortfall, positions may be squared off by RMS.

Example

(For reference only; actual margins may vary.)

• Position 1: Buy Nifty Future (Expiring 27th Feb)

• Position 2: Sell Nifty Future (Expiring 27th Mar)

• Margin required with hedge benefit: ₹1,00,000

On expiry day (27th Feb):

• Hedge benefit removed

• Additional margin required: ₹50,000

• Total margin required: ₹1,50,000

Clients are advised to ensure sufficient margin is available to avoid liquidation. If the required margin isn’t available, RMS may square off positions on a best-effort basis.

For further clarification, please refer to this circular for NSE, this circular for NCL, and ICCL notice no. 20241219-27 & 20250109-60.