Scan Rate Tiers
This report shows the Scan Rate Tiers for those Combined Commodities where Scan Rate Tiers are applicable. By defining different Scan Rate Tier in a Combined Commodity, Span allows the tiers to be margined separately, as if there were no correlation between them.
Comb Comm: Combined Commodity
The set of all eligible products used to generate a total requirement for each Exchange Complex within a portfolio. A Combined Commodity generally consists of all products of the same underlying physical. For example, at the CME, the Eurodollar combined commodity encompasses Mid-Curve options, Eurodollars and Eurodollar options.
Tier #: Either Overall, or broken down into tier numbers
Start Period: The beginning date of the tier
End Period: If other than Overall, the ending date of the tier
Rate ID: An internal Scan Rate ID assigned by Span.
Price Scan: The price scan range for the Combined Commodity. The price scan range is equal to the current Maintenance Requirement for a Combined Commodity. Therefore in the current Maintenance Requirement on the ED contract is $700, then the ED Price Scan Range is $700.
Vol Scan: The Volatility Scan Range for the Combined Commodity. Just as there is a set price scan range, there is a set Volatility scan range for a Combined Commodity. The Volatility Scan is the amount by which the implied volatility is changed in each risk array scenario.