As background, certain equity futures and options which expire on a quarterly basis have a final settlement price determined before CME Clearing runs the intraday (“ITD”) clearing cycle. For example, E-mini S&P futures have a final settlement price based on the special opening quotation (“SOQ”) of the contract’s underlying reference index on the final settlement date, which generally occurs at approximately 8:30am CST.

Historically, during the ITD clearing cycle, to calculate the performance bond requirement(s) on this final settlement date, CME Clearing simulated potential future gains or losses on these equity futures and options positions when using the SPAN methodology, which were reflected in the performance bond requirements at the ITD cycle.

Since the final settlement price has already been determined by the time CME Clearing performs the ITD clearing cycle calculation, CME Clearing currently does not simulate potential future gains or losses on these equity futures and options positions as part of the computation of performance bond requirement(s) using the SPAN 2 methodology at the ITD cycle, leading to a more accurate measurement of risk in the portfolio . Please note, this may result in a decrease or increase in performance bond requirements for clearing members at the ITD clearing cycle on the final settlement date (e.g., the next date is March 21, 2025), depending on the risk profile of the portfolio and account type.

These options continue to be included in the net option value (“NOV”) calculation at the ITD clearing cycle on the final settlement date and there are no impacts to the exercise and assignment processing which occurs at the end-of-day clearing cycle on the final settlement date.

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