Calendar Spread margin benefit for Single Stock Derivatives on expiry day
Summary
SEBI prohibits calendar spread margin benefits for single stock derivatives on the day of expiry to align with index derivative rules. This measure aims to mitigate risks associated with sudden margin increases and potential shortfalls following the expiry of one leg of a position. Stock Exchanges and Clearing Corporations are directed to implement necessary system changes and regulatory amendments within three months.
Text
the benefit of offsetting positions across different expiries shall not be available on the day of expiry for contracts expiring on that day for single stock derivatives.
existing margin calculations for calendar spread positions shall remain unchanged for calendar spread positions involving all expiries other than the contracts expiring on a given day.
This circular shall be effective from three months from the date of the circular.
Stock Exchanges and Clearing Corporations are directed to take necessary steps to put in place systems for implementation of this Circular, including necessary amendments to the relevant bye-laws, rules and regulations, if any.
This circular is being issued in exercise of powers conferred under Section 11 (1) read with 11(2)(a) of the Securities and Exchange Board of India Act, 1992 to protect the interests of investors in securities and to promote the development of, and to regulate the securities market.
Source: SecMarx — Calendar Spread margin benefit for Single Stock Derivatives on expiry day. Verbatim text is public record; SecMarx structuring (linkage to applying orders) is cited to us.