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What does SPAN mean?

SPAN (Standard Portfolio Analysis of Risk) is the margin methodology developed by CME Group and used by many futures exchanges worldwide to calculate margin requirements for futures and options on futures.

Rather than using a fixed percentage of a position's value, SPAN estimates the potential one-day loss of a portfolio under a range of market scenarios and sets margin requirements based on the worst projected loss.

How SPAN Works

SPAN evaluates positions across multiple hypothetical scenarios, including:

  • Price increases and decreases
  • Changes in volatility
  • Time decay
  • Interactions between related positions

The system then determines the maximum projected loss across these scenarios and uses that amount as the margin requirement.

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