As a reminder, CME has migrated equity products to the SPAN 2 framework. As announced on this advisory, CME will update the calibration of OCC / CME cross-margin program risk arrays to use risk data from the SPAN 2 framework as of the EOD cycle on December 6, 2024. Following December 6, all clearing cycles for the OCC / CME cross-margin program will consider SPAN 2 calibrated risk arrays.

For the full text of this advisory, please click below.