Calendar Spread margin benefit for Single Stock Derivatives on expiry day

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..../Madam, Sub: Calendar Spread margin benefit for Single Stock Derivatives on expiry day 1. 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 exp....

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....ation, 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 exp....

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....f the circular. 7. Stock Exchanges and Clearing Corporations are directed to take necessary steps to put in place systems for implementation of this Circular, including necessary amendments to the relevant bye-laws, rules and regulations, if any. 8. This circular is being issued in exercise of powers conferred under Section 11 (1) read with 11(2)(a) of the Securities and Exchange Board of In....