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How Is the Margin Requirement Calculated for a Portfolio of Futures Contracts?

Using a portfolio margin system (like SPAN) that assesses the net risk of the entire portfolio, considering offsets and correlations.
Greeks.Live21.11.25

How Is the Margin Requirement Calculated for a Portfolio of Futures Contracts?

The margin requirement for a portfolio is typically calculated using a 'portfolio margin' system, such as SPAN (Standard Portfolio Analysis of Risk). This system analyzes the overall risk of the entire portfolio, taking into account offsetting positions (hedges) and correlations between different contracts.

It calculates the margin needed to cover the worst-case potential loss of the entire portfolio over a specified time horizon, which is often lower than the sum of the individual contract margins.

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