Future spread and option margining, SPAN heuristic

Discussion in 'Risk Management' started by cjbuckley4, Jan 9, 2016.

  1. Even if you figure out span margin credits you still might run into problems because your brokers softwate may not calculate the correct span margin intraday ie they might think you are long or short 2 separate outrights. Been there.
     
    #11     Jan 10, 2016
  2. cjbuckley4

    cjbuckley4

    Follow up: since I'm just looking for a pessimistic estimate of SPAN margin, how does 99% VaR compare to your experience with SPAN in real life? I guess I could always get the API and figure out myself. Old posts on NP pointed me toward the 99% VaR number.
     
    #12     Jan 10, 2016
  3. cjbuckley4

    cjbuckley4

    For anyone who may be dealing with this in the future, I've provided some misinformation here accidentally. If you're trying to calculate SPAN requirements, you can get PC-Span free with a CME SMART click account. PC-Span provides a scripting language you can use on-the-run for stuff like my needs.
     
    #13     Jan 11, 2016
    xandman likes this.