SPAN Margin
Standard Portfolio Analysis of Risk — the CME's risk-based margin system that calculates required margin across a portfolio of futures and options.
SPAN (Standard Portfolio Analysis of Risk) is the margin methodology used by the CME Group and most major clearinghouses to calculate the minimum margin requirement for a portfolio of futures and options positions.
Instead of applying a flat per-contract charge, SPAN simulates 16 market scenarios — combinations of price moves and volatility shifts — and sets the margin equal to the worst projected one-day loss across those scenarios. Hedged portfolios (e.g. long ES / short NQ) benefit from spread credits that reduce total margin below the sum-of-parts.
SPAN is the professional standard; its logic underlies every margin call calculation at exchange level.