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Explain the Basic Concept of the SPAN Margining System

A risk-based system that calculates margin by finding the worst-case loss across a range of simulated market scenarios.
Greeks.Live03.11.25

Explain the Basic Concept of the SPAN Margining System.

The Standard Portfolio Analysis of Risk (SPAN) is a widely used risk-based margining system. It calculates the margin requirement by simulating a range of plausible market scenarios (price and volatility changes) and determining the worst-case portfolio loss.

The margin is set to cover this maximum potential loss under normal market conditions.

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