SEBI has already removed this expiry-day benefit for index derivatives last year.
The Securities and Exchange Board of India (SEBI) is set to tighten margin norms for single-stock derivatives on expiry days by withdrawing the calendar spread benefit, a move that could effectively raise margin requirements by 30-60 per cent for many leveraged traders.
The regulator said offsetting positions across different expiries in single-stock derivatives will no longer receive margin relief on the day a contract expires, bringing the treatment in line with index derivatives.
Margin relief
At present, traders running calendar spreads, holding futures or options across near and far expiries, benefit from lower effective margins as clearing corporations recognize the offsetting risk. Data shows these offsets often reduce margin outgo by one-third to over half in popular stock-futures spreads.
SEBI has already removed this expiry-day benefit for index derivatives last year. The latest step extends the same framework to single stocks, a change aimed at reducing risks that emerge once one leg of a spread expires after market hours. business line had reported, citing sources, that SEBi was considering removing the expiry-day spread benefits for single stock derivatives in November last year.
Under the current system, both legs of a spread can be carried through the session at lower margins. However, when the expiring contract lapses post-close, the remaining open position suddenly attracts full margin requirements, a jump that brokers cannot address through intraday square-offs.
“This creates a risk window for trading members, as margin shortfalls emerge when markets are already closed,” an industry participant said. Any sharp overnight move in the open leg can translate into losses for brokers if clients fail to top up margins in time.
By withdrawing the spread benefit during the expiry session itself, clearing corporations will collect higher margins intraday, giving brokers time to manage exposures before the close.
SEBI clarified that calendar spread benefits will continue for positions involving non-expiring contracts, for instance, spreads between next-month and far-month expiries will remain eligible even on the current month’s expiry day.
The new framework will come into effect three months from the date of the circular, with exchanges directed to update systems and rules accordingly.
While the move reduces overnight risk in the system, market participants warned of potential side effects. Higher intraday margin demands could force leveraged traders to unwind spread positions earlier in the session, leading to thinner order books, wider bid-ask spreads and sharper price moves near expiry.
Smaller and cash-constrained traders, who rely heavily on margin offsets to manage capital, may scale back participation, particularly in high-volume single-stock futures.
Published on February 5, 2026