Announcements

According to the exchange circular NCL/CMPT/65314, the benefit of a calendar spread on the expiry day of the near-term index derivatives contract will not be available w.e.f. 10-Feb-25 (revised). This revision is due to the updated effective date mentioned in the new exchange circular. This will apply only to the expiry day of the near-term contract and the T-day expiry contracts. 

It is to be noted here that due to the removal of the benefit of the calendar spread, the total margin requirement on the calendar hedge position will increase significantly. You are advised to maintain a sufficient margin; otherwise, positions will be squared off on the expiry day under Margin Shortfall Square Off as per RMS policy on a best-effort basis. 

Let’s understand this with the example:

Scenario 1: Mr. A is holding the below-mentioned position on 30-Jan-2025 (assuming Nifty @24,188):

Scenario 2: Mr. B is holding the below-mentioned position on 30-Jan-2025 (assuming Nifty @24,188): 

No position of Jan-25 Expiry

Scenario 3: Mr. C is holding the below-mentioned position on 30-Jan-2025 (assuming Nifty @24,188):

Scenario 4: Mr. D is holding the below-mentioned position in Call Option on the Nifty index on 30-Jan-2025 (assuming Nifty @23,530):