Given the increases in market volatility observed in the energy markets and possible further impacts of the ongoing conflict in the Middle East, CME Clearing has undertaken a review of parameters within the historical value-at-risk subcomponent of the market risk component of the SPAN 2 framework’s crude pod. Following this review, CME Clearing has determined that it will implement increases to this component’s volatility floors. While the impact to production portfolios will vary depending upon the risk profile for each individual portfolio, CME Clearing expects an increase in the total margin for futures and options products of around 1-2%.

The associated changes will be effective after the close of business on: March 02, 2026.

Additional details regarding the SPAN 2 framework can be found here. 

Please contact our Clearing Risk Management Team with any questions.

clearing.riskmanagement@cmegroup.com

US: +1 312 648 3888