Risk arrays of options

Discussion in 'Options' started by suni, Apr 2, 2008.

  1. suni


    Hi all,
    Can any one know how to calculate the SPAN risk 16 scenarios. I got about Futures. But I am not getting calculation for options.

    Can any one help please. It is urgent.
    I have to do this.:confused:
  2. suni


  3. MTE


    You wanna do it by hand!? Buy a SPAN calculator or you can use the OCC's calculator for portfolio margining for free, which can be found here.