Important Update on Stock F&O Calendar Spread Margin Benefit

As per revised exchange guidelines, with effect from the monthly expiry on 26 May 2026, calendar spread margin benefit on Stock Futures & Options will be available only up to one day prior to expiry.

On the expiry day, if one leg of the calendar spread expires on that day, margins will be charged separately on each leg of the spread. The calendar spread benefit will not apply from market open on the expiry day.

This may lead to an increase in margin requirement for Stock F&O calendar spread positions and could result in a margin shortfall if sufficient funds are not maintained in the account before expiry day.

What should you do?

We request you to review your open Stock F&O calendar spread position(s) and ensure adequate margins are available ahead of the expiry day to avoid any disruption. Alternatively, if you intend to roll over your calendar spread position(s) to future months, we suggest doing so before Monday, 25 May 2026, to avoid any adverse impact on your margin utilisation.

Example

If the monthly expiries are on 26 May, 30 June and 28 July, then calendar spread positions involving contracts expiring on 26 May & 30 June or 26 May & 28 July will not receive calendar spread benefit on 26 May.

However, calendar spread positions involving contracts expiring on 30 June & 28 July will continue to receive calendar spread benefit on 26 May, as neither leg is expiring on that day.