Calendar Spread

Removal of Calendar Spread Margin Benefits on Expiry Days

Starting February 10th, 2025 margin benefits for calendar spreads will no longer be available on expiry days.

Example:

1. If you short 24,000 call option for February 13th contract  and bought 24,000 call option for February 20th contract , the earlier margin requirement was ₹50,120 (due to the hedge, compared to a total margin of ₹1.83 lakh).

2. From February 10th, on the expiry day (February 13th in this case), the margin benefit will be removed at the start of the day since the short option expires.

3. As a result, clients must maintain the full margin of ₹1.83 lakh, failing which the position will be squared off.

Key Impact:

1. Previously, if clients squared off one leg of a hedge position, the margin requirement increased sharply, often triggering auto-square-off.

2. This change is intended to reduce last-minute volatility by enforcing full margin requirements from the beginning of the day.

Following are some illustrations: