CME SPAN Methodology Overview

The Standard Portfolio Analysis of Risk (SPAN®) system is a sophisticated methodology that calculates performance bond requirements by analyzing the "what-ifs" of virtually any market scenario.

Continually enhanced and elaborated, the CME SPAN methodology can be used to evaluate risk for the broadest possible range of derivative and physical instruments. Although originally designed for use with derivatives, its extraordinary capabilities have led to its extensive use in assessing risk for many different types of financial instruments.

As the industry standard for portfolio risk assessment, the CME SPAN methodology is the official performance bond (margin) mechanism of more than 50 registered Exchanges, clearing organizations, service bureaus, and regulatory agencies throughout the world. The CME SPAN software is utilized by a wide range of end-users, including futures commission merchants (FCMs), investment banks, hedge funds, research organizations, risk managers, brokerage firms, and individual investors worldwide.

How the CME SPAN Methodology Works

The CME SPAN methodology evaluates overall portfolio risk by calculating the worst possible loss that a portfolio of derivative and physical instruments might reasonably incur over a specified time period (typically one trading day). This is done by computing the gains and losses the portfolio would incur under different market conditions.

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

CME SPAN Parameters

Exchanges and clearing organizations using the CME SPAN methodology will determine for themselves the following CME SPAN parameters, reflecting their desired degree of risk coverage:

  • Price scan ranges (Scan risk) – the maximum price movement reasonably likely to occur for each instrument or, for options, their underlying instrument
  • Volatility scan ranges – the maximum change reasonably likely to occur for the volatility of each option's underlying price
  • Intra-commodity spreading parameters – rates and rules for evaluating risk among portfolios of closely related products, for example products with particular patterns of calendar spreads
  • Inter-commodity spreading parameters – rates and rules for evaluating risk offsets between related products
  • Delivery (spot) risk parameters – rates and rules for evaluating the increased risk of positions in physically-deliverable products as they approach or enter their delivery period
  • Short option minimum parameters – rates and rules evaluating the irreducible minimum risk associated with portfolios of deep out-of-the-money short option positions.

At least once every business day, each exchange or clearing organization using the CME SPAN methodology calculates risk arrays for all of its products and prepares a CME SPAN risk parameter file (also called a CME SPAN array file) containing all of the above data. These files are then published to clearing firms and other market participants. Using these freely-available files and inexpensive software such as the CME PC-SPAN software, calculating performance bond requirements for portfolios is quick and easy.

CME SPAN Methodology Combined Commodity Evaluations

The CME SPAN methodology divides the instruments in each portfolio into groupings called combined commodities. Each combined commodity represents all instruments on the same ultimate underlying – for example, all futures and all options ultimately related to the S&P 500 index.

For each combined commodity in the portfolio, the CME SPAN methodology evaluates the risk factors described above, and then takes the sum of the scan risk, the intra-commodity spread charge, and the delivery risk, before subtracting the inter-commodity spread credit. The CME SPAN methodology next compares the resulting value with the short option minimum; whichever value is larger is called the CME SPAN methodology risk requirement. The resulting values across the portfolio are then converted to a common currency and summed to yield the total risk for the portfolio.

The CME SPAN Product Suite

Now in its fourth generation of functionality, the CME SPAN methodology has evolved into a suite of three software products designed to meet the needs of a wide range of customers: CME PC-SPAN, CME SPAN Risk Manager, and CME SPAN Risk Manager Clearing.


The CME PC-SPAN software, a single-user desktop application that offers margin calculation across multiple exchanges, provides a quick, inexpensive, and simple way to calculate CME SPAN margin requirements.

How it works:

  • Download the CME SPAN risk parameter files for the exchanges or clearing organizations of interest from CME's FTP site on the Internet
  • Load the data from these CME SPAN risk parameter files into the CME PC-SPAN software
  • Define portfolios, either via the CME PC-SPAN's graphical user interface, or by loading them from a file
  • Click to calculate performance bond requirements
  • View results online or export margin results to a file for importing into your other applications.

CME SPAN Risk Manager

CME SPAN Risk Manager integrates risk management features with core margin calculation abilities to deliver a flexible and intuitive system for full portfolio risk management. Its powerful features and intuitive design allow for true portfolio analytics through multi-variant stress testing and option exposures.

CME SPAN Risk Manager:

  • Enables users to gauge the effects, on a total portfolio or a single option, of changes in price, implied volatility, time to expiration, dividend yields, and interest rates
  • Calculates hypothetical P&Ls, option prices, and option greeks
  • Calculates option implied volatilities, allows determination of appropriate volatilities for call/put pairs, and determines volatilities applicable to entire series of options
  • Allows for stress testing across portfolios of multiple products
  • Allows users to define, compare, save and reload "what-if" scenarios for stress testing
  • Enables shifting of volatility skews
  • Supports a variety of pricing models applicable to different types of options, including Black-Scholes, Merton, Adesi-Whaley, Cox-Ross-Rubinstein, and Bachelier

CME SPAN Real-Time Component Interface

CME SPAN Real-Time Component Interface (RTCI) is a software module containing a Com API which interacts with the CME PC-SPAN software to deliver near real-time margin calculations.

CME SPAN Real-Time Component Interface:

  • Allows users to develop programs which interface to the CME PC-SPAN software PC-SPAN in real-time
  • Enables users to post a single trade/position feed to the CME PC-SPAN software PC-SPAN and recalculate requirements throughout the day

CME SPAN Risk Manager Clearing

Our most powerful product, CME SPAN Risk Manager Clearing is an institutional-level program used by exchanges, clearing organizations, service bureaus, and regulatory agencies. It provides all capabilities of the CME PC-SPAN software and CME SPAN Risk Manager, and adds features enabling exchanges and clearing organizations to implement the CME SPAN methodology in a rapid and cost-effective manner.

Advanced functions provide the ability to:

  • Define the CME SPAN methodology rates and rules
  • Calculate CME SPAN risk arrays
  • Prepare and publish CME SPAN risk parameter files
  • Provide a real-time component interface, enabling true high-speed real-time pre- or post-execution risk-based credit controls

Downloading the CME SPAN Software

Complementary copies of the CME PC-SPAN software can be downloaded through CME Core by all users. To download a copy, log on to CME Core with your CME Group Login, or create a new one, and download the software.  

You can purchase single copies of CME SPAN Risk Manager through our software vendor SWREG. The software is downloaded electronically via CME Core once payment has been confirmed. SWREG accepts electronic payment via Mastercard, Visa, American Express, Discover, and PayPal and will accept orders via phone, fax, or check for a nominal fee. The base price for electronic delivery is $3,000 USD for CME SPAN Risk Manager.

For bulk purchases or to purchase other versions of the CME SPAN software (CME SPAN Real Time Component Interface or CME SPAN Risk Manager Clearing) contact the CME CORE Support Team:

+1 312 580 5353

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