SEBI Reviews Calendar Spread Margin Benefit in Single-Stock Derivatives on Expiry Day: Feb 2026 Circular

The headline for futures-and-options desks this morning is not a price level — it is a margin rule. On 5 February 2026, SEBI's Markets Regulation Department issued circular no. HO/47/15/11(2)2025-MRD-TPD1/I/4226/2026, reviewing the calendar spread margin benefit available on single-stock derivatives on expiry day. It is a risk-management measure aimed squarely at the leverage that F&O traders carry into the final session of a contract, and it deserves more attention than the average pre-open print.

Because the trigger here is a structural rule and not a closing tick, this note deliberately quotes no unverified intraday index levels. Everything below is anchored to the 5 February 2026 circular, to the RBI's verified policy stance, and to the statutory tax rates that govern your equity gains — nothing is estimated. If you trade single-stock futures or run spread positions, the change to expiry-day margining is the single most relevant item on the 22 June 2026 desk.

Market Snapshot

The most accurate snapshot a markets desk can give on 22 June 2026 is the regulatory and rate framework, because that is what is verified. SEBI circular no. HO/47/15/11(2)2025-MRD-TPD1/I/4226/2026, dated 5 February 2026, sits with the Markets Regulation Department (the same department that supervises stock-exchange risk policy) and reviews how much margin relief a calendar spread should attract on the day one of its legs expires.

A calendar spread is a position in two contracts on the same underlying with two different expiries — long one month, short another. Because the two legs largely offset each other, exchanges historically charged margin on the net spread rather than on each leg gross, which is the "margin benefit" the circular names. You can refresh the underlying mechanics in our glossary entries on leverage and volatility, both of which drive how much a derivatives position can swing intraday.

The macro backdrop into this rule is a holding pattern. The RBI Monetary Policy Committee left the repo rate unchanged at 5.25% on 8 April 2026, its second consecutive pause, after a cumulative 125 basis points of cuts through 2025 took the rate down from 6.50%. The table below sets out the verified policy-rate and equity-tax constants that frame any single-stock derivatives trade today.

Note that those STCG and LTCG rates apply to delivery-based equity, not to F&O turnover — that distinction matters for how your derivatives profit-and-loss is taxed, and we return to it in the FAQ. For the tax mechanics of the holding-period split, see our glossary notes on STCG and LTCG.

What Moved Yesterday

The meaningful move for derivatives participants over the recent sessions has been regulatory, not directional, and that is the honest read for 22 June 2026. SEBI's risk framework has tightened in measurable, dated steps: the calendar spread review circular carries the date 5 February 2026, and it follows a broader 2025-26 push by the Markets Regulation Department to recalibrate how expiry-day risk is margined across the F&O segment.

This is part of a recognisable pattern. Earlier in the same window, SEBI tightened the valuation of physical gold and silver held by mutual fund schemes through a separate February 2026 circular — we covered the mechanics in our explainer on the gold and silver MF valuation rules. Read together, the two circulars show a regulator methodically closing valuation and margining gaps rather than reacting to any single price shock.

The reason expiry day specifically attracted the regulator's attention is structural. On a normal trading session, both legs of a calendar spread are live, so the hedge holds and the net margin is a fair reflection of risk. On expiry day, the near leg settles intraday — once it expires, the offset that justified the lower margin no longer exists for the remainder of that 5-day-or-so settlement window, leaving the trader with a residual, effectively naked position that was margined as if it were still hedged. The 5 February 2026 circular reviews exactly that mismatch.

Every row above traces directly to the structural logic the SEBI Markets Regulation Department set out in the 5 February 2026 circular; none of it depends on an unverified price. The practical takeaway is that a position which looked cheap to carry on margin terms can become materially more expensive to hold on the one day a leg rolls off.

What to Watch Today

First, watch your broker's margin file. If your trading platform applies SEBI's reviewed calendar spread treatment, the upfront margin demanded on single-stock spread positions on their expiry day may rise relative to the netted figure you are used to. The governing reference is SEBI circular no. HO/47/15/11(2)2025-MRD-TPD1/I/4226/2026 dated 5 February 2026; confirm with your broker how and from when they have operationalised it.

Second, watch position sizing into expiry. Because the margin benefit is being reviewed specifically for the expiry-day window, the cost of carrying a spread into its last session is the variable that changes — not the strategy itself. Traders who routinely run single-stock calendar spreads should model the higher expiry-day margin into their capital plan rather than assume the netted number holds for all 5 trading days of the final week.

Third, keep the rate calendar in view. The RBI repo rate has been unchanged at 5.25% since 8 April 2026, and the MPC's neutral stance means funding costs for leveraged positions are stable for now. A stable cost of carry is helpful context for anyone deciding whether to roll a spread forward rather than hold it into a more expensive expiry session.

For investors who would rather avoid expiry-day margin mechanics altogether, a systematic equity allocation remains the simpler path. You can model a disciplined monthly plan with our SIP calculator, compare a one-time deployment using the lumpsum calculator, or layer in annual increases with the step-up SIP calculator — none of which attract intraday margin calls.

The discipline point is worth stating plainly: leverage cuts both ways. A single-stock future already embeds gearing, and under-margined expiry-day risk is precisely the kind of exposure that the 5 February 2026 circular is designed to price more honestly. If you do not understand exactly why your spread's margin changed on expiry day, that is the signal to reduce size, not to add.

FAQ

What did SEBI change in the February 2026 calendar spread circular?

SEBI circular no. HO/47/15/11(2)2025-MRD-TPD1/I/4226/2026, dated 5 February 2026, reviews the calendar spread margin benefit available on single-stock derivatives on expiry day. Issued by the Markets Regulation Department, it is a risk-management measure that re-examines whether a spread position should keep its reduced, netted margin once one of its two legs expires. Traders should confirm the exact operational treatment and effective date with their broker against the official circular text.

What is a calendar spread and why does it normally get a margin benefit?

A calendar spread is a position in two contracts on the same underlying stock with different expiry dates — typically long one expiry and short another. Because the two legs move together and largely cancel each other out, the position's net risk is far lower than either leg alone, so exchanges have charged margin on the spread rather than on both legs gross. That reduced charge is the "margin benefit" the 5 February 2026 circular reviews.

Why does expiry day matter for the calendar spread benefit?

On a normal session both legs are live, so the offset that justifies the lower margin holds. On expiry day, the near leg settles intraday; once it is gone, the remaining leg is no longer hedged and carries directional risk for the rest of the settlement window. The 5 February 2026 SEBI circular targets exactly this mismatch, where a position margined as a hedge ceases to be one mid-session.

Does this affect index derivatives or only single-stock derivatives?

The 5 February 2026 circular is specific in its title to single-stock derivatives on expiry day. It does not, on its own terms, restate the treatment of index derivatives. Always read the applicability clause of the official SEBI circular before assuming a rule extends to index futures or options.

How could higher expiry-day margins affect retail F&O traders?

The strategy is unchanged; the cost of carrying it into the final session is what moves. If your broker applies the reviewed treatment, the upfront margin on a single-stock spread held into expiry day may rise versus the netted figure, tying up more capital for that one session. Model this into position sizing rather than discovering it as an intraday margin call, and remember that leverage amplifies both gains and losses.

Does this change the tax on my F&O profits?

No. The 5 February 2026 circular is a margining rule, not a tax rule. F&O income in India is generally treated as business income, distinct from the 20% STCG and 12.5% LTCG (above the Rs 1.25 lakh exemption) that apply to delivery-based equity under Budget 2024. The margin change affects the capital you must post to hold a position, not the rate at which the resulting profit is taxed.

Where can I read the official circular?

The circular is published on SEBI's website under the February 2026 legal circulars section as no. HO/47/15/11(2)2025-MRD-TPD1/I/4226/2026, dated 5 February 2026. Read the official text in full before adjusting any live position, and cross-check the RBI's monetary policy page for the current 5.25% repo stance (as of 8 April 2026) that frames the cost of carry on any leveraged trade.