---
title: "Calendar spread on Nifty options: how it works and margin"
description: "Calendar spread on dated NSE Nifty chains: net debit, how time decay and forward volatility work, the expiry day margin rule, and two worked entries."
source_url: "https://www.rupeecase.com/learn/path-17/module-17-9-option-calendar-spreads"
---

[Path 17 9 of 23](/learn/path-17/)Option calendar spreads[Next 17.10](/learn/path-17/module-17-10-strategy-by-view)

Tuesday 16 Jun 2026. The 24,000 call of the 30 Jun expiry settled at 227.05 a unit. The same strike in the 28 Jul expiry settled at 466.15. Sell the first, buy the second, and the net bill was 239.10 a unit, Rs 15,541 a lot. On Monday 29 Jun the near call had fallen to 64.30 while the far call had slipped only to 376.90, so the pair was worth 312.60 and had gained Rs 4,778 a lot, with the index 53.75 points under the strike. Put the same spread on at the 23,250 strike on 10 Jun and the index ran away from it: the pair lost Rs 4,355 by 29 Jun. A calendar spread is a bet on time, and on the index staying near one strike. Every price is an NSE end of day settlement, dated, so nothing is live.

3By the end you can

1. Build a call calendar spread from two dated settlement prices and track its value to a later date.
2. Work out forward volatility from two implied volatilities and say what a calendar is exposed to.
3. Describe how SPAN and the SEBI rule of 1 Oct 2024 treat the margin of a calendar spread on its expiry day.

Watch in the terminal: why do the hero, key figure and XIRR differ? A short tutorial on sample data.

## The idea, plainly

Two options on one strike, with different expiry dates. The near one runs out of time sooner, so each day it loses more than the far one does. A calendar spread sells the near option and buys the far one, and collects the difference as the days pass, provided the index stays close to the strike.

### What is a calendar spread?

Same type, same strike, two expiries. Sell the near expiry and buy the far expiry. You pay a net debit, because the far option has more time and costs more. When the near option expires, the far one is still alive, so the position never turns into a naked short: the most it can lose is about the debit. It earns when the index sits near the strike as the near option expires, and it loses value when the index runs far from it, because both options then trade at intrinsic value and the gap between them closes.

Calendar spread
Pay = far price
less near price
Peak: index at the strike
when the near leg expires

A calendar spread peaks at the strike and gives value back on both sides

Sell the 24,000 call of the 30 Jun expiry, buy the 24,000 call of the 28 Jul expiry, one lot, valued on 30 Jun 2026. The far leg is priced with Black 76 on the same forward as the near leg, so the peak reads a little low. Source: NSE end of day data, computed by RupeeCase. As of 16 Jun 2026.
Read one more paragraph, 57 words
The chart is the position on the day the near option expires, with the far leg priced by Black 76 at its own volatility. The peak sits at the strike, and the position gives value back on each side as the index moves away. Before that day the curve is lower and rounder, as with any spread.

### Where does forward volatility come in?

Each expiry has its own implied volatility. What adds up is total variance, the volatility squared times the time. So two expiries, taken together, fix the volatility the market charges for the stretch between them: the forward volatility. With two volatilities and two times, it is the difference in total variance over the difference in time. A calendar is a position on that stretch. You hold the days after the near expiry and sell the days before it.

Forward variance =
(σ2² × T2 − σ1² × T1)
divided by (T2 − T1)

The volatility between two expiries moves further than the expiries' own volatilities do

Each point is the at the money implied volatility of one expiry on 10 Jun 2026. The dashed steps are the forward volatility between neighbouring expiries. Source: NSE end of day data, computed by RupeeCase. As of 10 Jun 2026.
Read 2 more paragraphs, 163 words
On 10 Jun the at the money implied volatility was 15.0% to 30 Jun and 14.8% to 28 Jul. The dashed steps in the chart are the forward volatilities between neighbouring expiries, and they overshoot. Where implied volatility rises from one expiry to the next, the volatility between them sits above both. Where it falls, it sits below both. For the stretch from 30 Jun to 28 Jul the two volatilities were close and fell slightly with time, so the forward figure sits just under both. Total variance still grows with time, as it must. If it ever fell, the forward variance would turn negative, which no price can support. [Module A05](/learn/path-16/module-16-10-forward-volatility) takes that further.

Volatility moves the spread too. The far option has more time, so it carries more vega than the near one, and the pair as a whole gains when implied volatility rises and loses when it falls. A calendar can be right about the index and wrong about volatility.

### What does a calendar spread need in margin?

* **The far leg** is bought, so its premium is paid in full. SEBI's circular of 1 Oct 2024 made the net option premium payable upfront from 1 Feb 2025. For a calendar the net is a debit.

* **The near leg** is sold, so it carries SPAN and exposure margin. SPAN, the margin model of NSE Clearing, revalues the two legs together, so the long far option offsets part of the sold one and the margin is lower than for the sold option alone. The rupees come from your broker's margin screen and move through the day.

* **The expiry day cut-off.** The same circular removed the calendar spread benefit on expiry day from 1 Feb 2025 for index contracts. On the day the near leg expires, the expiring contract and the later one are margined separately, with no offset between them. Short index options expiring that day also carry extra extreme loss margin.

The example below marks both legs on Monday 29 Jun, the last session before the 30 Jun expiry and so the last one before the offset ends. That is a feature of the rule and of the data, not a suggestion about when to act.

## Worked example: one strike, two entry dates

Both calendars sell the 30 Jun expiry and buy the 28 Jul expiry, settled on the index close for expiries before 7 Dec 2026. The lot is 65 units. The strike is the one nearest the future on the entry day, because these are monthlies. Every figure is a settlement price, and a real order crosses a bid and ask on each leg. Both calendars are valued on 29 Jun, the Monday before the near expiry, when the index closed at 23,946.25.

Two settlement prices make the debit, and two more mark the pair a fortnight later

Settlement prices of 16 Jun and 29 Jun 2026. Source: NSE end of day data, computed by RupeeCase. As of 29 Jun 2026.

| One lot | Entered 16 Jun | Entered 10 Jun |
| --- | --- | --- |
| Strike | 24,000 | 23,250 |
| 30 Jun call on entry | 227.05 | 321.65 |
| 28 Jul call on entry | 466.15 | 552.95 |
| Net debit, a unit | 239.10 | 231.30 |
| Net debit, a lot | Rs 15,541 | Rs 15,035 |
| 30 Jun call on 29 Jun | 64.30 | 723.55 |
| 28 Jul call on 29 Jun | 376.90 | 887.85 |
| Value of the pair on 29 Jun | 312.60 | 164.30 |
| Result a lot | Rs 4,778 | −Rs 4,355 |

Read 2 more paragraphs, 165 words
The 16 Jun calendar was centred on the index. By 29 Jun the near call had fallen from 227.05 to 64.30, a drop of 162.75, while the far call fell from 466.15 to 376.90, a drop of 89.25. The pair widened by the difference and made Rs 4,778. One detail worth seeing: the near expiry's own volatility had risen to 15.9% by 29 Jun from 12.1%, which works against a short near leg. With a day left, time decay beat it.

The 10 Jun calendar had its strike at 23,250 and the index ended 29 Jun at 23,946.25, 696.25 points above. Both calls were then deep in the money and traded close to intrinsic value, so the gap between them shrank from 231.30 to 164.30 and the pair lost Rs 4,355, 29.0% of its debit in nineteen days. Two entries on one expiry pair, one centred and one not, show the shape. They do not show odds.

## The common mistake

The belief: A calendar spread is low risk, because time decay always works in your favour. Decay works for the spread only while the index stays near the strike. The debit is also the cap on the loss, and here that debit was Rs 15,541 for one lot, held through a fortnight. When the index left the strike, as it did after the 10 Jun entry, the spread lost Rs 4,355 and time decay did nothing to repay it. The far leg also carries volatility risk: it is long vega, so a fall in implied volatility costs the position even when the index stands still. The margin offset ends on the near expiry day. And SEBI's Aug 2026 study of individual equity derivatives traders found that 87.7% lost money in FY26. A defined risk is a ceiling on the loss, and the ceiling here is high.

2 terms this section turns on

From the module glossary; every term is in the Learn glossary too. Source: Module 17.9, Option calendar spreads.

## Key takeaways

* A calendar spread sells the near expiry and buys the far one at one strike.
* The near leg decays faster, so it gains while the index stays near the strike.
* Far from the strike both legs trade near intrinsic and the gap shrinks.
* Forward volatility is the far total variance less the near, over the time between.
* The margin offset between the two legs ends on the near expiry day.
* The debit caps the loss. Decay does not repay a big move.

Watch in the terminal: what do ulcer, pain and time under water add? A short tutorial on sample data.
**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](https://www.sebi.gov.in/reports-and-statistics/research/aug-2026/study-profitability-of-individual-traders-in-the-equity-derivatives-segment-fy25-fy26-_103835.html)

What does Option calendar spreads cover?Sell the near expiry, buy the far one, at one strike. What it costs, what it earns, and what the margin rule changes. It works through The idea, plainly, Worked example: one strike, two entry dates, The common mistake, Key takeaways. It is module 17.9 of Path 17, Strategies and Hedging, about 9 minutes of reading, free.

TTry it

## Payoff builder, on the same example.
Legs from a dated chain, the expiry and before expiry curves, breakevens and the charges. Dated NSE end of day data, nothing live, no orders.

**Payoff builder**, Nifty, 16 Jun 2026, 30 Jun 2026 expiry.

[Open the payoff builder](/learn/tools/payoff-builder?chain=NIFTY_2026-06-16_2026-06-30&preset=call-calendar)

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F&O at RupeeCase will do one job: protect a portfolio you already own, by a rule published before it runs. No speculation, no naked option selling, no leveraged bets. It is not available yet.

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QQuick check

## 10 questions, 7 to pass.
Each attempt draws 10 of the 15 questions in this module's bank, and a retake draws a fresh set. A pass gives this module's Certificate of Completion. Your result stays on this device and counts towards the Path 17 certificate.

7 of 10 correct passes module 17.9

Every answer is explained when you check; a retake is always free. Source: RupeeCase Learn quiz rules (70% to pass).

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CCheck yourself

## Path 17 so far.
Your quick check results on this device, stop by stop.

Stop 9 of 23 on Path 17

Strategies and Hedging: every live stop, this module ringed. Source: RupeeCase Learn, Path 17.

1. [17.1Reading and building payoff diagramsNot yet](/learn/path-17/module-17-1-payoff-diagrams)
2. [17.2Vertical debit spreads: bull call and bear putNot yet](/learn/path-17/module-17-2-bull-call-and-bear-put-spreads)
3. [17.3Covered call, protective put and cash secured putNot yet](/learn/path-17/module-17-3-covered-call-and-protective-put)
4. [17.4Why and when to hedge: insurance in plain numbersNot yet](/learn/path-17/module-17-4-why-hedge)
5. [17.5Straddles and strangles, long and shortNot yet](/learn/path-17/module-17-5-straddles-and-strangles)
6. [17.6Credit spreads: bull put and bear callNot yet](/learn/path-17/module-17-6-credit-spreads)
7. [17.7Iron condor and iron fly on NiftyNot yet](/learn/path-17/module-17-7-iron-condor-and-iron-fly)
8. [17.8Butterflies and broken wing butterfliesNot yet](/learn/path-17/module-17-8-butterflies)
9. [17.9Option calendar spreadsNot yet](/learn/path-17/module-17-9-option-calendar-spreads#quiz)
10. [17.10Choosing a strategy by view: direction, volatility and timeNot yet](/learn/path-17/module-17-10-strategy-by-view)
11. [17.11Adjustments: what they really do to riskNot yet](/learn/path-17/module-17-11-option-adjustments)
12. [17.12Expiry day: gamma, theta, settlement and the rulesNot yet](/learn/path-17/module-17-12-expiry-day)
13. [17.13Hedging a stock portfolio with Nifty putsNot yet](/learn/path-17/module-17-13-hedging-with-nifty-puts)
14. [17.14Collars and put spreads as cheaper hedgesNot yet](/learn/path-17/module-17-14-collars-and-put-spreads)
15. [17.15Hedging mutual fund portfolios: beta and basisNot yet](/learn/path-17/module-17-15-hedging-mutual-fund-portfolios)
16. [17.16Ratio spreads and backspreadsNot yet](/learn/path-17/module-17-16-ratio-spreads-and-backspreads)
17. [17.17Diagonals and double calendarsNot yet](/learn/path-17/module-17-17-diagonals-and-double-calendars)
18. [17.18P&L attribution by GreeksNot yet](/learn/path-17/module-17-18-pnl-attribution-by-greeks)
19. [17.19Event hedging with event varianceNot yet](/learn/path-17/module-17-19-event-hedging)
20. [17.20Tail hedging and long dated Nifty optionsNot yet](/learn/path-17/module-17-20-tail-hedging)
21. [17.21Hedging an option selling book: wings, vega, gaps and margin stressNot yet](/learn/path-17/module-17-21-hedging-an-option-selling-book)
22. [17.22Kelly and sizing for option strategiesNot yet](/learn/path-17/module-17-22-kelly-sizing)
23. [17.23Risk for option books: scenarios, stress, VaR, ES and margin shocksNot yet](/learn/path-17/module-17-23-option-book-risk)
24. [TPath test, 30 questionsNot yet](/learn/path-17/module-17-23-option-book-risk#pathTestSection)

Path 17 in reading time: 215 minutes over 23 modules

Minutes of reading per module, this one in amber. Source: RupeeCase Learn, Path 17.

    Explore next

## Put the module to work.

* [Free module 14.8Theta: the time decay curve into expiry7 min read](/learn/path-14/module-14-8-theta-time-decay)
* [Free module 17.7Iron condor and iron fly on Nifty10 min read](/learn/path-17/module-17-7-iron-condor-and-iron-fly)
* [Free module 17.8Butterflies and broken wing butterflies9 min read](/learn/path-17/module-17-8-butterflies)
* [Free module 17.11Adjustments: what they really do to risk9 min read](/learn/path-17/module-17-11-option-adjustments)
* [Free module 16.10Forward volatility from two expiries10 min read](/learn/path-16/module-16-10-forward-volatility)
* [Free module 17.17Diagonals and double calendars11 min read](/learn/path-17/module-17-17-diagonals-and-double-calendars)

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SSources

## Go to the source.
6 sources, NSE the most cited

The publisher of each source listed below. Source: Module 17.9 source list.
1. [NSE, equity derivatives contract specifications (lot size, strikes, expiry cycle, cash settlement)](https://www.nseindia.com/static/products-services/equity-derivatives-contract-specifications) NSE
2. [NSE Clearing, margins: SPAN, initial margin and extreme loss margin](https://www.nseclearing.in/risk-management/equity-derivatives/margins) NSE
3. [SEBI circular of 1 October 2024, Measures to strengthen the equity index derivatives framework (no calendar spread benefit on expiry day from 1 February 2025; upfront option premium)](https://www.sebi.gov.in/legal/circulars/oct-2024/measures-to-strengthen-equity-index-derivatives-framework-for-increased-investor-protection-and-market-stability_87208.html) SEBI
4. [SEBI, Profitability of individual traders in the equity derivatives segment, FY25 to FY26 (Aug 2026)](https://www.sebi.gov.in/reports-and-statistics/research/aug-2026/study-profitability-of-individual-traders-in-the-equity-derivatives-segment-fy25-fy26-_103835.html) SEBI
5. [NISM, Series VIII Equity Derivatives, test objectives (option strategies)](https://www.nism.ac.in/revamp-nism/test-objectives-revised-nism-series-viii-equity-derivatives-certification-examination/) NISM
6. Hull, J., Options, Futures, and Other Derivatives, Pearson (calendar spreads; forward volatility) Book

GTerms

## 5 terms from this module.
Calendar spreadTwo options of one type and strike with different expiries, one sold and one bought. The usual form sells the near expiry and buys the far one.
Forward volatilityThe volatility the market implies for the stretch between two expiries, found from their two implied volatilities and times.
Total varianceImplied volatility squared times the time to expiry in years. It adds up across time, which is why forward volatility can be found by subtraction.
Calendar spread benefitThe margin offset between the legs of a calendar spread. For index contracts SEBI removed it on the expiry day of the expiring leg from 1 February 2025.
Time decayThe fall in an option's time value as expiry approaches. It is faster for the near expiry.
[All 230 terms in the glossary](/learn/glossary)

[Question people askWhat is forward volatility and how does it relate to calendar spreads?A short answer with a dated chart](/learn/questions/what-is-forward-volatility)[Question people askHow does a calendar spread on Nifty options work, and what margin does it need?A short answer with a dated chart](/learn/questions/nifty-calendar-spread)[Related module17.7 Iron condor and iron fly on Nifty10 min, Intermediate](/learn/path-17/module-17-7-iron-condor-and-iron-fly)[Related module17.8 Butterflies and broken wing butterflies9 min, Intermediate](/learn/path-17/module-17-8-butterflies)[Pillar guideDerivatives and Quant115 modules across paths 12 to 19](/learn/derivatives)

Education only, not investment advice, a research report or a recommendation to buy, sell or hold any security. RupeeCase (QC Alpha Technologies Pvt Ltd) is not registered with SEBI as an investment adviser or research analyst. Contracts and prices shown are for illustration only, come from NSE end of day files at least 30 days old, and are not recommendatory. Derivatives trading carries a high risk of loss.