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What Is ‘SPAN Margin’ and How Is It Used in Futures Exchanges?

A sophisticated, risk-based system that calculates margin by assessing the worst-case loss of a portfolio across various price and volatility scenarios.
Greeks.Live21.11.25

What Is ‘SPAN Margin’ and How Is It Used in Futures Exchanges?

SPAN (Standard Portfolio Analysis of Risk) is a globally recognized, sophisticated risk-based margining system developed by the CME Group. It is used by many futures exchanges to calculate the margin required for a portfolio of derivatives.

SPAN analyzes the risk of the entire portfolio across a range of potential price and volatility scenarios. It calculates the total margin as the greatest loss the portfolio would incur under any of these scenarios, leading to more capital-efficient margin requirements.

How Is the Margin Requirement Calculated for a Portfolio of Futures Contracts?
How Do Different Futures Exchanges Calculate Their Initial Margin Requirements?
How Does the SPAN Margin System Facilitate Portfolio Margining?
What Is the Basic Concept behind the SPAN Margining System?

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