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Regulatory Update: SEBI's Change w.r.t. Calendar Spread Margin Benefits

We wish to inform you about an important regulatory update. As per the SEBI circular (no. SEBI/HO/MRD/TPD-1/P/CIR/2024/132 dated October 01, 2024), there will be no margin benefits for calendar spreads on expiry day, effective February 10, 2025.
What Does This Mean for You?
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:
1) A short option expiring on 30th January (margin required: ₹1 lakh), and
2) A long option expiring on 27th February,
you currently enjoy a margin benefit, requiring only ₹50,000 instead of ₹1 lakh.
On 30th January (expiry day), this margin benefit will be removed, and you’ll need the full margin of ₹1 lakh.
What Should You Do?
1) Check your positions: Ensure sufficient margins are available on expiry day to avoid margin shortfalls.
2) Plan: Review your strategies and adjust your trading approach accordingly.
Please note that if you fail to ensure adequate availability of margins in your account on the expiry day, action for margin shortfall will follow and the positions would be squared off post 1 p.m. on previous day of expiry day, on a best-effort basis by RMS and any loss or penalty thereof will have to be borne by you.
Read More - https://nsearchives.nseindia.com/content/circulars/CMPT66047.pdf
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