The Indian Clearing Corporation Limited (ICCL) on December 19, 2024, issued the notification regarding the Removal of Calendar Spread treatment in Expiry day.
SEBI, in its circular dated October 1, 2024, introduces changes to strengthen the Equity Index Derivatives framework for better investor protection and market stability. Effective February 1, 2025, the provisions for "Removal of Calendar Spread Treatment on the Expiry Day" will be implemented. Key changes include the introduction of a new 'scanTiers' tag in the SPAN file, with different tiers for expiry and non-expiry days for index symbols. On expiry days, calendar spread positions will not be granted margin benefits, and no spread treatment will apply to index futures positions.
[Notification No. 20241219-27]
