Supporting Volatility Offset in PA2 files Without Modified Split

Please be advised that on January 11, 2013, CME Clearing will begin including parameters necessary to support volatility offsets into PA2 SPAN files without modified-split (ftp://ftp.cmegroup.com/pub/span/data/cme/noMOD).

CME Clearing started including these parameters in PA2 files with modified split (ftp://ftp.cmegroup.com/pub/span/data/cme) on December 3, 2012. For more details on support for volatility offset methodology please see following advisory: http://www.cmegroup.com/tools-information/lookups/advisories/clearing/files/Chadv12-511_introducing_volatility_offset_addition_to_span_margin_methodology.pdf

Please contact the CME Clearing Risk Hotline at clearing.riskmanagement@cmegroup.com  or 312.648.3888 for more information. 

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