The National Stock Exchange (NSE) on November 29, 2024, issued a circular regarding the removal of calendar spread treatment on Expiry Day.
The following has been stated: -
•The SEBI circular (ref. no: SEBI/HO/MRD/TPD-1/P/CIR/2024/132) removes the calendar spread treatment on expiry day for contracts expiring on that day. SPAN margin calculations will include two tiers for index symbols on expiry days, with no calendar spread benefit for these positions.
•For index futures, no calendar spread treatment will be applied to expiry-day contracts for Extreme Loss Margins.
•These changes will take effect from February 01, 2025.
The detailed circular is given in the document below.
[Circular Ref. No: 146 /2024]
