HO/47/15/11(2)2025-MRD-TPD1/ I/4226/2026 February 5, 2026 — THE SECURITIES AND EXCHANGE BOARD OF INDIA ACT, 1992

CIRCULAR HO/47/15/11(2)2025-MRD-TPD1/ I/4226/2026 February 5, 2026 To All Stock Exchanges All Clearing Corporations (Except Commodity Derivatives Exchanges and Clearing Corporations) Sir/Madam, Sub: Calendar Spread margin benefit for Single Stock Derivatives on expiry day Chapter 5 of SEBI Master Circular dated December 30, 2024 for Stock Exchanges and Clearing Corporations inter-alia provides stipulations for calendar spread margin treatment in derivatives segment (Clause 1.2.6). At present, for index derivatives, the benefit of offsetting positions across different expiries ('calendar spread') is not available on the day of expiry for contracts expiring on that day (Clause 1.2.7). On the basis of reference received from trading member(s) with regard to possible risks emanating from calendar spread benefit on expiry day for single stocks and subsequent deliberations with Secondary Market Advisory Committee (SMAC) of SEBI, it is decided that, 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. It is clarified that the 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. As an illustration, if monthly expiries are on 29th (current month), 30th (next month) and 31st (far month) respectively, then calendar spread positions involving positions expiring on 29th (current month) and 30th (next month), or 29th (current month) and 31st (far month), shall not be provided calendar spread treatment on 29th (current month expiry). However, calendar spread positions involving positions expiring on 30th (next month) and 31st (far month) s