On CME Group’s Internet FTP site the location, ftp.cmegroup.com/pub/span/data/cme contains CME’s SPAN files for customer margining which do not use the modified-split allocation method for margining certain options on spreads.
There is a separate directory, ftp.cmegroup.com/pub/span/data/cme/mod, which contains the SPAN files which do make use of the modified-split allocation method.
Effective this Monday, September 24, we are adding a new directory located at, ftp.cmegroup.com/pub/span/data/cme/nomod, which will also contain the SPAN files without the modified-split allocation feature.
Beginning the following Monday, October 1, we will change the primary directory, ftp.cmegroup.com/pub/span/data/cme, so that it contains SPAN files with the modified-split allocation feature.
Beginning on the next following Monday – Monday October 8 – we will cease publishing SPAN files to the mod directory.
For more information about the modified-split allocation feature of SPAN and the margin efficiencies it provides, please see Clearing Advisory 12-259, published June 22, 2012, at:
For questions, please contact CME Clearing at 312-207-2525.
CME Group is the world's leading and most diverse derivatives marketplace. The company is comprised of four Designated Contract Markets (DCMs). Further information on each exchange's rules and product listings can be found by clicking on the links to CME, CBOT, NYMEX and COMEX.