CME Group to Launch Next Generation of CME SPAN Margin Methodology

[bone]

What I worry about is that this will cause performance bonds to fluctuate much more rapidly during a given week, thus not allowing smaller swing folks like us to realistically decide on how to engage in trading based on the more rapid changes. If it does, I would hope the intra-week changes are fairly small. Of course, one should not be trading at max margin anyways, but I digress.

Is more rapid margin adjustment what you perceive to be the outcome of this @bone ? @Robert Morse?

Well obviously this affects me and my clients because SPAN margin offsets are a big deal for us. I spent most of last week researching everything I could find on SPAN-2 - there’s not much. I have a friend who’s a Risk Manager at s Major Chicago FCM - I’m going to call him this week. It’s going to be a gradual roll-out. My sense is that this Version is not really about changing margins “real-time” intraday / it’s likely more about providing easily obtainable margin offset calculations for the tens of thousands of inter and intra market spread combinations - futures, options, and cleared Swaps.