According to the SEBI circular (No. SEBI/HO/MRD/TPD-1/P/CIR/2024/132 dated October 01, 2024), effective February 10, 2025, margin benefits for calendar spreads on expiry day will be discontinued. Currently, traders benefit from reduced margin requirements for hedged positions (calendar spreads). However, as per the above SEBI circular, on the expiry day of contracts, this margin benefit will no longer apply.
Example:
This is for explanation purposes only; actual margins may vary from trade to trade.
If you hold:
- A long option expiring on 27th February and
- A short option expiring on 27th March (margin required: ₹2 lakhs)
you currently enjoy a margin benefit, requiring only ₹1 lakh instead of ₹2 lakhs. On 30th January (expiry day), this margin benefit will be removed, and you’ll need the full margin of ₹2 lakhs.
The aforementioned rules will apply to calendar spread positions in equity index derivatives and will be effective from February 10, 2025.
Review your strategies and adjust your trading approach accordingly. Ensure you have sufficient margins available on expiry day to avoid any shortfalls. Please be advised that if adequate margins are not maintained in your account on expiry day, positions may be squared off on the day. Any resulting loss or penalty will be your responsibility.
