The National Stock Exchange (NSE) on February 20, 2026, notified regarding the Calendar Spread margin benefit for Single Stock Derivatives on expiry day.
The following has been stated namely: -
• To implement the above provisions, the following changes shall be made applicable. SPAN Margin
• The existing tag called ‘scanTiers’ in .spn file shall be used.
• On non-expiry days, for stock symbols, there shall be one tier containing the nearest and farthest expiry respectively, in the starting and ending period.
• You may refer to the span tags provided in Annexure to NCL Circular ref. no. 146/2024 (Download ref. no. NCL/CMPT/65314) dated November 29, 2024.
• On expiry day for a stock, tag ‘dspread’ shall not contain any combination of expiries with the nearest expiry date (T Date).
[Circular no: NCL/CMPT/72906]
