--- title: "How does a calendar spread on Nifty options work, and what" description: "A calendar spread sells a near expiry option and buys a later expiry option at the same strike." source_url: "https://www.rupeecase.com/learn/questions/nifty-calendar-spread" --- A call calendar pays most near its strike as the near expiry approaches, while the far leg still has time left Profit and loss for one lot of a call calendar, near leg sold and far leg bought at the same strike, priced from the 10 Jun 2026 settle prices. The line for three days ahead is the spread before the near expiry. Source: NSE end of day data, computed by RupeeCase. As of 10 Jun 2026. The chart uses the 16 Jun 2026 weekly and the 30 Jun 2026 monthly, both on the 10 Jun 2026 chain. A call calendar sells the near call and buys the far call at one strike. On that date the near leg has about one week left and the far leg about three weeks. Why it can earn: the near leg loses time value faster than the far leg, so the spread can gain while the index stays close to the strike. The far leg also carries forward volatility, so a change in the volatility curve moves the spread even when the index does not. The chart shows the value at the near expiry and three days before it, with the far leg still open. The spread is at its best near the strike, and the gain falls away as the index moves either way. That is why calendars are often called neutral, but the position still carries risk from changes in volatility. Margin. The exchange's margin system treats the two legs as one position with an offset, so the capital blocked is less than the two legs taken separately. For index derivatives that offset is removed on expiry day, when the near leg is priced at intrinsic value and the spread behaves like two separate positions. SEBI's circular of 1 Oct 2024 set this, in force from 1 Feb 2025, and the broker's margin figure is the one to read. Each leg pays brokerage and exchange fees, the sold leg pays STT, and the near leg is closed, rolled or left to expire, each with its own costs. The examples here use dated chains only. **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) How does a calendar spread on Nifty options work, and what margin does it need?A calendar spread sells a near expiry option and buys a later expiry option at the same strike, so it earns from the faster time decay of the near leg and from the shape of the volatility term structure. Its margin is lower than the two legs taken alone, but that offset is removed on expiry day, so the margin a broker shows can change close to expiry. LGo deeper ## Where Learn teaches this. [Go deeperTheta: the time decay curve into expiry7 min, Beginner](/learn/path-14/module-14-8-theta-time-decay)[Go deeperOption calendar spreads9 min, Intermediate](/learn/path-17/module-17-9-option-calendar-spreads)[Try itGreeks calculatorDelta to rho, and vanna to colour in expert mode, from one Black 76 engine.](/learn/tools/greeks-calculator) SSources ## Go to the source. 4 sources, NSE the most cited The publisher of each source listed below. Source: Module undefined source list. 1. [NSE option chain page (this page reads dated end of day files only)](https://www.nseindia.com/option-chain) NSE 2. [NSE, equity derivatives contract specifications (expiry cycle, lot size and strike rules)](https://www.nseindia.com/static/products-services/equity-derivatives-contract-specifications) NSE 3. [SEBI investor education, Understanding derivatives](https://investor.sebi.gov.in/understanding_derivatives.html) SEBI 4. [SEBI circular of 1 Oct 2024, Measures to strengthen the equity index derivatives framework (calendar spread offset on expiry day, para 5.2)](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 ?Questions people ask ## Related questions. [QuestionWhat are option Greeks (Greeks kya hai)?Beginner](/learn/questions/what-are-option-greeks)[QuestionWhat is theta decay, and how fast is it on expiry day?Beginner](/learn/questions/theta-decay-on-expiry)[QuestionDo expiry day setups like the 9:20 straddle or "hero zero" work?Intermediate, trap check](/learn/questions/expiry-day-strategies)[QuestionAre there 0DTE options in India, and can I sell options on expiry day?Intermediate, trap check](/learn/questions/zero-dte-options-india)[QuestionHow much margin does selling a Nifty option need, and why more on expiry day?Intermediate](/learn/questions/margin-to-sell-nifty-option) [All 130 questions](/learn/questions/) Explore next ## Go deeper on this question. * [QuestionWhat are diagonal and double calendar spreads?A short answer with a dated chart](/learn/questions/diagonal-and-double-calendar) * [QuestionWhat are bull put and bear call credit spreads?A short answer with a dated chart](/learn/questions/credit-spreads-explained) * [ToolOption payoff builderLegs on a dated Nifty chain, breakevens and charges](/learn/tools/payoff-builder) * [GlossaryInvesting glossary, 230 termsPlain word definitions, and the app’s own](/learn/glossary) Community ## Join my WhatsApp group. Scan the code, fillFill one short form, and join my WhatsApp group. Slides, sources, factsheets and the rebalance logs live there, and members join a daily Google Meet with me. New to RupeeCase? [Getting started](/getting-started) [See the terminal](/terminal) [Sign up for RupeeCase](https://invest.rupeecase.com/signup) [Join the WhatsApp group](https://forms.gle/C6HMtM1Z2GfeocQV7) [One form, one group](https://forms.gle/C6HMtM1Z2GfeocQV7)Scan with your phone camera 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.