This section describes how to use PC-SPAN version 4 to create a portfolio, define positions, calculate the portfolio performance bond (margin) requirement, and view the results. After taking the quick tour, learn more about PC-SPAN in the Use PC-SPAN.
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Getting SPAN® Risk Parameter Files
Before you can use PC-SPAN, you need to get the daily SPAN risk parameter file(s) for the exchange(s) and business date(s) you are interested in, onto your PC. SPAN files are available for downloading without charge from the CME website at ftp://ftp.cmegroup.com/pub/span/data. Individual subdirectories of this directory contain the SPAN files for the various exchanges and clearing organizations.
SPAN files can be stored in any local or network disk or directory. By default PC-SPAN will look for SPAN files in its "data directory", which is normally set as C:\SPAN4\data. (You can change it to any desired location.)
Note that most SPAN files available on the CME website are "zipped" -- i.e., compressed using the "ZIP" compression format -- in order to shorten download times. These "zipped" files need to be "unzipped" before PC-SPAN can use them.
So that you can get started with PC-SPAN right away, some sample SPAN files are provided with the program. In this quick tour, we'll use one of these sample files.
Unzipping SPAN Files
To "unzip" a ZIP file means to extract the data file contained inside the ZIP file. If you are using Windows XP or later, you don't need any additional software. Just double-click on the ZIP file to open it, select the SPAN file contained inside, right-mouse click and select Copy, then go to the directory where you want to put the SPAN file and Paste it there.
You can also use PK-ZIP, WinZip, or many other programs which "unzip" ZIP files.
Loading SPAN Risk Parameter Files
Let's load the CME's SPAN risk parameter file for August 31, 2017, into PC-SPAN:
- Click on the Load button on the toolbar -- the third button from the left.
(Note: you don't have to remember which button is which. Just point to each button to display the "Tool Tip" for that button.)
(Note: you could also select Load Files... from the File menu, or just press Ctrl-L, the keyboard shortcut.)
- The Load Files dialog box will display.
- Click on the file cme.20170830.c.pa2 to select it, then click on the Open button to start the loading process. This is the "standard unpacked" ("regular") format file for the CME for business date March 13, 2001.
- The Loading SPAN risk parameter file... box will display briefly while the file is being loaded.
When the loading is complete, you'll see a small "plus sign" in a box at the top-left corner of the "Data Window":
- Click on that "plus sign" -- this is called "expanding this node on the tree" -- and you'll be able to see that so far we have data loaded for August 31, 2017:
- Click on the plus sign to the left of "Exchange Complexes", and you'll be able to see that we have data loaded for the CME for this business date:
Creating a Portfolio and Calculating its Performance Bond Requirement
- Point to the New Portfolio button on the toolbar -- the fifth one from the left: (Remember, you don't have to remember which is which -- just point to it and the "tool tip" will display "New Portfolio".)
- Click on the button to create the new portfolio and display its "New Portfolio" dialog box. (Note: you could also have selected New Portfolio from the File menu, or just pressed Ctrl-W, the keyboard shortcut.)
- Now let's enter some data about the portfolio:
- Parent Account: leave as (None). (This field is used to link a subaccount of an omnibus account, to its parent omnibus account.)
- Clearing Firm: enter something -- anything -- to identify the firm.
- Account: enter something -- anything -- to identify the specific account at the firm -- or leave this field as its default value of "*** New Portfolio ***".
- Account Type: select the desired account type. Most users will be choosing between:
- S - Speculator - Customer for speculative public customers of brokerage firms
- H - Hedge - Customer for customer accounts eligible for hedger margin rates
- M - Member - Customer for customer accounts held by exchange members and hence eligible for member margin rates
- O - Omnibus/Speculator for omnibus accounts where naked positions are margined using speculative margin rates, or
- Q - Omnibus/Hedge for omnibus accounts where naked positions are margined using hedge rates.
For our tour, let's select S - Speculator - Customer.
- Seg Type: leave at its default value of N/A (not applicable.) This field allows you to specify the segregation type ("origin") of the account, if you wish.
- Portfolio Currency: select the currency in which you want the overall performance bond (margin) requirement for this account denominated. Most users will leave this at its default value of USD, for U.S. Dollars.
- Ledger Balance: enter the cash balance in the account.
- Open Trade Equity: enter the gain or loss on open futures positions in the portfolio. If a loss, enter as a negative number, with a leading minus sign.
- Securities on Deposit: enter the performance bond (margin) value of all non-cash collateral on deposit, such as Treasury securities.
Note: You only need to enter values for Ledger Balance, Open Trade Equity and Securities on Deposit if you want PC-SPAN's comparison of performance bond requirement to collateral on deposit, to be meaningful. If you don't care about this comparison, and are only interested in knowing what the performance bond requirement is, you can leave these values as zeros.)
- Now point to the Positions tab:
- and click on it so that we can start defining positions.
- Let's enter some positions in ES futures -- the "E-Mini" S&P 500 equity index futures:
- Select ES in the Product field.
- The Product Type field will default to Future.
- Let's enter 55 for the December 2017 contract (the "201712" contract) and -33 (ie, short 33) for the June 2018 contract.
- Now let's change Product Type to Option on Future and select for Option Series the December 2017 options on the December 2017:
- Enter a long position of 52 in the 1375 put and a short position of 100 in the 1420 call:
- Let's change the product to NQ for E-Mini Nasdaq 100 futures and enter a short position of 50 in the March 2018 contract:
- If you click on the Contracts with Positions check box at the top-left of the dialog box, and then on the All Positions for Selected Exchange Complex check box, you can quickly view all of the positions you have defined for the CME.
(Note: to change any position quantity, just modify the value. To remove a position, just change its quantity to zero.)
- Now -- very important -- click on the OK button to save the portfolio and close the portfolio dialog box. In the data window now, you can see the portfolio:
- Now let's calculate the performance bond requirement for this portfolio. Point to the Calculate button on the toolbar (the one with the plus/minus on it)...
- and click on it. (You could also select Calculate Portfolios from the File menu, or just press Ctrl-K, the keyboard shortcut.) The performance bond requirement will be calculated, and the Portfolio dialog box will be displayed so that you can immediately view the overall requirement for the account:
- Note how the window shows you both the Maintenance requirement and the Initial Requirement. (For speculative customer portfolios, the initial requirement will typically be somewhat larger than the maintenance requirement.) For each, you see the SPAN Requirement (ie, the risk performance bond requirement, also called just the risk requirement), the Available Net Option Value (positive if the portfolio is net long in equity-style option value and negative if the portfolio is net short in option value), and the Total Requirement. As you can see the Total Requirement is equal to the SPAN Requirement, less the Available Net Option Value.
- Now click on the Values tab to display the overall portfolio value, broken out by long and short options value, and long and short futures value.
- Now click on the OK button to close the portfolio dialog box and return to the main window. Notice how the "exclamation point" symbol to the left of the portfolio has changed color from red to green, to indicate that this portfolio's performance bond requirement has been calculated:
PC-SPAN version 4 provides a universe of reports allowing you to view and/or print just about any data from the SPAN risk parameter files you have loaded, and for the portfolios which you have defined. Let's take a quick look at the two most important reports:
- Click on the Reports tab to display the main reports page.
- On the left-hand pane, you'll see three folders of available reports, with the available reports from the Portfolios folder already display.
- Point to the Positions report, and click to generate the report:
- Now let's point to the Requirements report, and click to generate the report:
- Note above how the report has two pages at its current page size of 50 lines per page. You can browse backwards and forwards among the pages using the arrow buttons shown above.
- If you want to print the report, click on the Print All button to bring up the standard Windows Print dialog box. (Note: you use the printer's Properties button to change between portrait and landscape mode as desired.) Click OK to print the report, or Cancel if you change your mind.