SEBI Tightens Rules on Calendar Spread Margins for Single-Stock Derivatives

The Securities and Exchange Board of India (Sebi) has announced that margin benefits for calendar spreads will not be available on the expiry day for single-stock derivatives. This decision aims to prevent margin requirement spikes and give traders time to manage positions effectively.

The Securities and Exchange Board of India (Sebi) has implemented a significant regulatory change regarding calendar spread margins. Calendar spread margin benefits will no longer apply to single-stock derivative contracts on the day they expire, aligning with the treatment of index derivatives.

Under the new rules, the margin calculations for calendar spreads remain consistent for other expiry days. However, positions involving an expiring contract on a specific day will not qualify for offsetting margin benefits. The objective is to avoid sudden spikes in margin needs post-expiry and provide adequate time for traders to manage additional margins or adjust positions.

The decision comes after feedback from trading members and discussions within Sebi's Secondary Market Advisory Committee. It is slated to take effect in three months or by May 5, 2026. Spread margins involve reduced collateral requirements when offsetting positions across expiries, due to a lowered risk profile.

(With inputs from agencies.)