Starting May 5, 2026, calendar spread margin benefits will not apply to single-stock F&O spreads if one of the contracts in the spread expires that day. This change is introduced as per SEBI circular HO/47/15/11(2)2025-MRD-TPD1/I/4226/2026 and NSE Clearing Circular 023/2026.

What does this mean?

If you hold a calendar spread in a stock (for example, buying one expiry and selling another), you usually get lower margin because the positions offset each other.

From May 5, 2026:

• If one contract in your spread expires that day, you will not receive the margin benefit.

• Margin will be calculated as if you are holding two separate positions.

• Your required margin can increase significantly on expiry day.

• This applies from the start of the expiry day.

On other days, the calendar spread benefit will continue as usual.

For example: Let’s say Mr. X holds the following position in a single stock futures contract: 

• Buy February futures - 1 lot
• Sell March futures - 1 lot

This forms a February–March calendar spread.

Under normal conditions, because the positions offset each other, the margin requirement is significantly lower than holding two separate futures contracts.

On February expiry day:

• The February–March spread will not receive calendar spread benefit.

• The February contract (expiring that day) will be treated independently.

• Margin will be calculated separately for both February and March contracts.

• The required margin may increase significantly for that day.

However, if Mr. X holds a March–April spread (where neither leg expires that day), the calendar spread benefit will continue.

Physical Delivery Margins

This change does not impact existing physical delivery margin requirements for stock derivatives nearing expiry. You can refer to our detailed policy in this blog.

Why this change?

On expiry day, once the near-month contract expires, the remaining position becomes a regular open position. The revised rule ensures margin reflects this standalone risk.

This change also aligns stock derivatives with index derivative rules.

What you should do

If you carry single-stock calendar spreads into expiry:

• Review margin requirements before expiry day.

• Ensure sufficient funds are available to avoid margin shortfall.

• Account for physical settlement margins applicable to stock derivatives nearing expiry.

Margin shortfall may result in RMS square-off as per exchange regulations.

For complete details, please refer to this circular.