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What Is the SPAN Risk Model?

A portfolio margining system (CME Group) that calculates margin based on the net risk of futures and options across a range of market scenarios.
Greeks.Live23.11.25

What Is the SPAN Risk Model?

SPAN (Standard Portfolio Analysis of Risk) is a widely used portfolio margining system developed by the CME Group. It calculates margin requirements by determining the overall risk of a portfolio of futures and options contracts based on a range of possible market movements (scenarios) and their associated losses.

It is the industry standard for many exchanges.

How Does the SPAN Margin System Facilitate Portfolio Margining?
How Do Portfolio Margining Systems Differ from Standard Cross-Collateralization?
How Does Portfolio Margining Potentially Reduce Total Margin Requirements?
What Is the Basic Concept behind the SPAN Margining System?

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