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Removal of Calendar Spread Margin Benefit on Expiry Day

Post Date : May 15, 2025

Effective Date: February 10, 2025

The Securities and Exchange Board of India (SEBI) has introduced a crucial regulatory change impacting traders who use calendar spread strategies in index derivatives. From February 10, 2025, the calendar spread margin benefit will no longer be available on the expiry day.

This change applies only to index derivatives and does not affect stock derivatives. The margin benefit will continue to apply on non-expiry days as usual.

What is a Calendar Spread Strategy?

A calendar spread is a trading strategy where you hold two positions in futures contracts of the same index but with different expiry dates – for example, buying a near-month futures contract and selling a far-month contract.

Why is This Important for Traders?

Until now, traders received a margin benefit when creating calendar spreads, even on expiry day. This reduced the overall margin requirement significantly. However, under SEBI’s new rule, this margin benefit will no longer apply on expiry day.

This means that traders will need to maintain higher margins on expiry days to keep their positions open. If the required margin is not available, RMoney’s  RMS will square off the position.

Example for Better Understanding

Let’s say you have created a calendar spread strategy with Nifty Futures:

• Leg 1: Buy Nifty Future – Expiry 27th February
• Leg 2: Sell Nifty Future – Expiry 27th March

Margin Requirement before Expiry

With the hedge benefit, the margin required = ₹1, 00,000

Margin Requirement on Expiry Day (27th February)

On the expiry day, the hedge benefit is removed, so the margin required increases:
Additional margin required = ₹50,000
Revised margin required = ₹1,50,000

What Happens if Margin is Not Maintained?

If the required margin of ₹1,50,000 is not available in your account on expiry day, RMoney’s RMS will automatically square off your positions to manage risk.

Key Points to Remember

1. This rule applies only to index derivatives (like Nifty and Bank Nifty), not to stock derivatives.
2. Calendar spread benefits will continue to apply on non-expiry days.
3. Additional margin must be maintained only on expiry days to avoid position liquidation.

Why This Change?

SEBI’s decision aims to enhance risk management across the derivatives market, ensuring better alignment between actual risk and margin collected.

What Should RMoney Traders Do?

• Monitor Your Margin Closely: Especially on expiry days if you are using calendar spreads in index derivatives.
• Ensure Sufficient Funds: Maintain the required margin to avoid auto- square off by RMS.
• Stay Updated: Always check the latest regulatory guidelines to keep your trading strategies compliant.

Need Help?

For further queries or clarification, feel free to contact the RMoney Support Team. We’re here to assist you.

Contact RMoney at 0562-4266600 / 0562-7188900 or email us at

askus@rmoneyindia.com