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SPAN, or Standard Portfolio Analysis of Risk, is a method of evaluating risk and calculating performance bond requirements for futures and options on futures. It was developed in 1988 by economists at the Chicago Mercantile Exchange. It was the first system to calculate performance bond requirements exclusively on the basis of overall portfolio risk at both the clearing and the customer level.

The SPAN method calculates the likely loss in a portfolio of derivatives positions and sets this value as the initial margin payable by the firm holding the portfolio. SPAN thus provides for offsets between correlated positions and enhances margining efficiency.

SPAN evaluates overall portfolio risk by calculating the worst possible loss a portfolio of derivative and physical instruments might incur over a specified period (typically one trading day.) It does this by computing the gains and losses the portfolio would incur under various market conditions.

The core of the methodology is the SPAN risk array, a set of numeric values that indicate how a particular contract will gain or lose value under various conditions.[1] Each condition is called a risk scenario. The numeric value for each risk scenario represents the gain or loss that that particular contract will experience for a particular combination of price (or underlying price) change, volatility change, and decrease in time to expiration.[2]


Rick Kilcollin was the chief economist and David Emanuel the senior economist, in the CME's research department. At the time they began developing SPAN, methods for calculating margin requirements did not accurately capture the true risk for a combined portfolio of futures and options. Kilcollin and Emanuel proposed a risk-based method for evaluating a portfolio's performance bond requirements. Another CME economist, Jerry Roberts, took that method and made it compatible with the industry's back offices. CME rolled out SPAN on Dec. 16, 1988.[3]

Over the years, SPAN has become the industry standard for portfolio risk assessment. It is the official performance bond (margin) mechanism of 50 registered exchanges, clearing organizations, service bureaus and regulatory agencies throughout the world. The SPAN software is used by futures commission merchants (FCMs), investment banks, hedge funds, research organizations, risk managers, brokerage firms and individual investors everywhere. Although originally designed for use with derivatives, it is now widely used to assess risk for many different types of financial instruments.

In May 2019, the CME Group announced it would launch the next version of SPAN called SPAN 2. Set to be tested in the second half of 2019, SPAN 2 is designed to provide enhanced risk management in a single interface with new modeling and margin replication enhancements. Set to launch in 2020, SPAN 2 will still be based on Value at Risk, and use historical data to model gains or losses in certain scenarios. It will also incorporate more granular and dynamic adjustments to margins by product and portfolio. It will also include different risk factors such as market risk, liquidity and concentration. It will be phased in over several years.[4]


PC-SPAN is single-user desktop software that enables a user to enter positions manually or by using scripting language to automate the position entry process. With a click of the mouse, the SPAN requirement is known. PC-SPAN allows for an extremely quick, inexpensive and simple way to calculate margin requirements across multiple exchanges.[5][6]

Exchanges Using Span[edit]

The following is a list of exchanges and clearing houses who have licensed SPAN from the CME Group and use it for margin and risk purposes.[7]