SPAN, margin, formulas,

Discussion in 'Options' started by Mimimy, Oct 21, 2002.

  1. Mimimy


    Does some of you knows how "SPAN" calculate marin requirement for options on futures ? For example to sell a call spread ?

    Sometimes there are infos on the web but they never explain the whole thing in details.

  2. JayS


  3. Just subscribing ...
  4. Guerilla


    I used to be deeply involved with SPAN at the CME clearinghouse a few years back. The basic premise of the calcs is actually pretty simple. Putting it all together gets more complicated. As an option trader you first must know that your requirement will change daily as the price of the underlying, the vol, time to expiration, etc, all change.

    If you want to understand it all, it's here:
  5. def

    def Sponsor