Description

NSE announces updated SPAN margin parameters providing calendar spread margin benefits for single stock derivatives positions on their expiry day, effective from the attached parameter file dated January 2026.

Summary

NSE’s Clearing Corporation (NSCCL) has issued updated SPAN margin parameter files providing calendar spread margin benefits for single stock derivatives (equity F&O) positions on their expiry day. The circular accompanies a SPAN parameter file (nsccl.20260127.original.i01.spn) effective from January 2026, which governs how margin offsets are calculated for calendar spread positions as contracts approach expiry.

Key Points

  • Calendar spread margin benefit is extended to single stock derivatives on their expiry day
  • Updated SPAN parameter file (version 4.00) issued with effective date January 23, 2026
  • The SPAN file defines margin calculation parameters across multiple currencies and account types
  • Account types covered include Hedge (H), Member (M), Normal (N), Omnibus/Speculator (O), Omnibus/Hedge (Q), and Speculator (S)
  • Margin netting is applicable for Hedge and Member account types
  • The change applies to the equity derivatives (Capital Market) segment

Regulatory Changes

The SPAN margin methodology is updated to allow calendar spread treatment to be retained for single stock derivative positions on the expiry day of the near-month contract. Previously, the spread benefit may have been withdrawn or reduced as expiry approached. This change aligns single stock derivative treatment with index derivative practices.

Compliance Requirements

  • Trading members and clearing members must update their risk management systems with the new SPAN parameter file
  • Members should ensure margin collection from clients reflects the updated calendar spread benefit on expiry day
  • Risk systems must be capable of processing the SPAN 4.00 format parameter file
  • Members should communicate updated margin requirements to clients holding calendar spread positions in single stock derivatives

Important Dates

  • SPAN parameter file creation date: January 23, 2026
  • Parameter file effective date: January 27, 2026
  • Circular issued: February 20, 2026

Impact Assessment

This change provides margin relief to traders holding calendar spread positions in single stock futures and options on expiry day. By retaining the spread margin benefit through expiry, traders incur lower margin requirements, reducing the cost of maintaining such positions until settlement. This may encourage greater participation in calendar spread strategies for single stock derivatives and improve liquidity in these contracts near expiry. The operational impact requires clearing members to update their SPAN parameter files and recalibrate margin calculations accordingly.

Impact Justification

Margin methodology update for calendar spreads on expiry day affects risk calculations for traders holding spread positions in single stock F&O, with moderate operational impact on margin requirements.