On Monday 29 Jun 2026 the June Nifty future settled at 23,972.90 and the July future at 24,037.70. The gap was 64.80 points, or Rs 4,212 on one lot of 65 units. A trader long June who wants to stay long after Tuesday's expiry pays that gap by selling June and buying July. Look at the same pair a day later, on expiry day, and the gap more than doubles. I treat a roll as a trade with a price, and a calendar spread as the same trade held on purpose. This lesson covers what the spread is made of, what a roll costs and why a spread is not a free position. Every figure comes from NSE end of day files and is dated, not live.
3By the end you can
- Say what a futures calendar spread is and how a roll is one.
- Work out the gap between two expiries, its roll yield and the interest it is set against.
- Explain why a spread is not free of risk and why its margin benefit stops on expiry day.
The idea, plainly
What is a calendar spread?
A calendar spread is a long in one expiry and a short in another, held together. For index futures that means July against June. Nifty up or down moves both legs about equally, so the position is mostly deaf to direction. What it keeps is the price gap between the months. A roll is a calendar spread that closes the old leg as it opens the new one: a long sells the near month and buys the next, and a short does the reverse.
Spread =
interest on the near
future for the extra days
less dividends in between
Read one more paragraph, 62 words
The price of that gap is carry again, but for the stretch between the two expiries. The next month future is the near month future grown at the interest rate for the extra days, less the dividends that go ex in between. This is the same sum as in module 13.5, applied to the days from one expiry to the next.
What does a roll cost, and what is roll yield?
Three things, as module 13.4 showed: the spread, the charges on two trades and the slippage of trading a thinner month. The spread is the large one, and it is not a fee anyone keeps. A long that rolls pays the spread, but the cash it did not spend on the index earns the interest. Set the two side by side and what is left is the dividends.
Annualised roll =
spread / near future
x 365 / days between
A roll is a calendar spread that opens as the old leg closes
Read one more paragraph, 55 words
Roll yield is the spread expressed as a yearly rate on the near future. A long pays it when the next month is the dearer, which is the usual state for an index with positive interest. Annualising puts a spread of a few points over 28 days on the same scale as the bill yield.
Cash alongside: why the roll is not a loss
Think of two ways to stay exposed to Nifty for a month. Buy the index and hold it, or hold a future and keep the cash in a bill. The first earns the dividends and pays the interest, since the money is tied up. The second earns the interest and does not collect the dividends. Rolled each month, the future plus the cash tracks the index price plus dividends, as long as the gap is interest less dividends. The roll cost and the interest on your cash are two sides of one sum. A gap that is larger than interest is a real cost to the long. A gap that is smaller is a small gain to it, before charges.
So the answer to what rollover costs is a number you can work out. The gap, plus charges and slippage, less what your cash earned while you waited. The short answer is also on the rollover cost page.
Worked example: the gap on three days in June 2026
Here is the June to July gap on three sessions, set against the interest the near future would have earned over the 28 days between the two expiries. Interest is the near future times the bill yield times 28 over the days in a year. The last column is what interest leaves after the gap: a positive number is room for dividends, and a negative number is a gap larger than interest alone.
| Settlement | Gap, points | Gap, one lot | Interest, points | Interest less gap |
|---|---|---|---|---|
| Wed 10 Jun: June 23,240.10, July 23,344.90 | 104.80 | Rs 6,812 | 91.8 | −13.0 |
| Tue 16 Jun: June 24,001.00, July 24,087.90 | 86.90 | Rs 5,649 | 94.9 | 8.0 |
| Mon 29 Jun: June 23,972.90, July 24,037.70 | 64.80 | Rs 4,212 | 96.7 | 31.9 |
The gap swung from above interest to well below it in three weeks
Across four expiries the roll gap ranged from under two percent to over eight
The gap drifted down through June, then jumped on expiry day
Read 5 more paragraphs, 389 words
On 10 Jun the gap was larger than interest, so the dividend room was below zero. By 29 Jun it was smaller, with room of 31.9 points. Annualised, the gap came to 5.88% on 10 Jun, 4.72% on 16 Jun and 3.52% on 29 Jun, against a bill yield of 5.26% on the last of those days. For a long that rolls, the cost ran from Rs 6,812 to Rs 4,212 a lot over those dates.
Now the same measure over four expiries. Each cluster of points is the last eleven sessions up to and including an expiry day, in March, April, May and June 2026. The straight stretches between clusters are not data.
Within one expiry the gap is not steady either. The chart below runs through the last eleven sessions of the June 2026 expiry, including expiry day.
The jump on the last day has two parts. The June leg's premium, 26.65 points the evening before, was paid away at the final settlement, because on expiry day the near leg is the index close. A trader short June kept it. A trader long June paid it, which is why the near month premium is the one to watch when a roll is left late. The other part is the July future itself: its premium over the index went from 91.45 points on 29 Jun to 143.35 on 30 Jun. An end of day file shows that move and cannot say what caused it. The margin side matters too. NSE Clearing gives a calendar spread of index futures a lower margin than two separate positions. Since 1 Feb 2025 the benefit does not apply to a contract expiring that day, under SEBI's circular of 1 Oct 2024. A spread therefore needs more margin on the final day.
Who trades calendar spreads on purpose? Hedgers whose cover has to last past the near expiry, and who put the roll on as one spread order. Funds that run a cash and carry trade, which must keep the futures leg alive to match shares held. And traders who take a view on the gap itself: that rates, dividends or funding demand will move it. The last group is small and works on thin margins. The futures calendar arbitrage lesson studies that trade, and the option calendar spreads lesson the options version.
The common mistake
The belief: A calendar spread is risk free because one leg offsets the other.
The legs offset the index, not the gap between them. A trader long the spread on 10 Jun, long July and short June, bought a gap of 104.80 points. By 29 Jun it was 64.80. That is a loss of 40.0 points, or Rs 2,600 a lot, while Nifty rose 731.30 points in the same stretch. Rates, dividends and funding demand move the gap, and so does the way the near leg's premium disappears. What a spread carries is gap risk, and that is separate from direction. Both legs also need margin, and each leg has its own charges.
Key takeaways
- A calendar spread is a long in one expiry and a short in another.
- A roll is a calendar spread that closes the old leg.
- The gap is interest for the extra days, less dividends in between.
- Annualise the gap to compare it with the bill yield.
- The legs offset the index, not the gap between them.
- Index futures lose the spread margin benefit on expiry day.
2 terms this section turns on
Before you trade. Derivatives trading carries a high risk of loss. SEBI's study "Profitability of Individual Traders in the Equity Derivatives Segment (FY25 to FY26)" (August 2026) found that 87.7% of individual traders in equity F&O made net losses in FY26, with aggregate net losses of Rs 91,685 crore. Read the SEBI study