“標準投資組合風險分析(SPAN)”是芝加哥商品交易所(CME)創建的一種計算保證金要求的方法。全球多家清算所和交易所都使用該方法來計算期貨及期貨期權的“履約保證”(即保證金要求)。清算所會從期貨經紀商(FCM)處收取履約保證,期權經紀商則從其客戶處收取。
SPAN會使用16種假設的市場情境來評估投資組合在給定期限內(通常設為一天)在最差的情況下可能遭受的損失,進而得出保證金金額。這16種假設情境會反映期貨或期權合約底層價格的變動,對於期權,還會反映時間衰減和隱含波動率的變動。
計算SPAN要求的第一步是將所有底層產品相同的持倉合併為一個 “商品組合”。下一步,SPAN會計算和加總某一種情境下“商品組合”內每一個持倉的風險,並將理論損失最大的情境下的風險定義為“掃描風險”。16種情境是基於“商品組合”價格掃描範圍(給定期限內底層產品的最大價格波動)和波動率掃描範圍(期權最大隱含波動率變動)得出的。
假設一個投資組合由股票指數ABC的一張多頭期貨合約和一張多頭看跌期權合約組成,底層價格為1000美元,乘數為100,價格掃描範圍為6%。 對於該給定的投資組合,“掃描風險”為情境14下的1125美元。
# |
1 張多頭期貨 |
1 張多頭看跌期權 |
合計 |
情境描述 |
1 |
$0 |
$20 |
$20 |
價格不變;波動率在掃描範圍內上升 |
2 |
$0 |
($18) |
($18) |
價格不變;波動率在掃描範圍內下降 |
3 |
$2,000 |
($1,290) |
$710 |
價格上漲價格掃描範圍的1/3;波動率在掃描範圍內上升 |
4 |
$2,000 |
($1,155) |
$845 |
價格上漲價格掃描範圍的1/3;波動率在掃描範圍內下降 |
5 |
($2,000) |
$1,600 |
($400) |
價格下跌價格掃描範圍的1/3;波動率在掃描範圍內上升 |
6 |
($2,000) |
$1,375 |
($625) |
價格下跌價格掃描範圍的1/3;波動率在掃描範圍內下降 |
7 |
$4,000 |
($2,100) |
$1,900 |
價格上漲價格掃描範圍的2/3;波動率在掃描範圍內上升 |
8 |
$4,000 |
($2,330) |
$1,670 |
價格上漲價格掃描範圍的2/3;波動率在掃描範圍內下降 |
9 |
($4,000) |
$3,350 |
($650) |
價格下跌價格掃描範圍的2/3;波動率在掃描範圍內上升 |
10 |
($4,000) |
$3,100 |
($900) |
價格下跌價格掃描範圍的2/3;波動率在掃描範圍內下降 |
11 |
$6,000 |
($3,100) |
$2,900 |
價格上漲價格掃描範圍的3/3;波動率在掃描範圍內上升 |
12 |
$6,000 |
($3,375) |
$2,625 |
價格上漲價格掃描範圍的3/3;波動率在掃描範圍內下降 |
13 |
($6,000) |
$5,150 |
($850) |
價格下跌價格掃描範圍的3/3;波動率在掃描範圍內上升 |
14 |
($6,000) |
$4,875 |
($1,125) |
價格下跌價格掃描範圍的3/3;波動率在掃描範圍內下降 |
15 |
$5,760 |
($3,680) |
$2,080 |
極端價格上漲(價格掃描範圍的3倍)* 32% |
16 |
($5,760) |
$5,400 |
($360) |
極端價格下跌(價格掃描範圍的3倍)* 32% |
然後,用“掃描風險”加上同商品跨月價差風險值(衡量期貨日曆價差基礎風險的值)和交割風險值(衡量可交割的持倉由於臨近到期日而上升的風險),再減去跨商品價差折抵值(由於有相關性的產品互相分散了風險而降低的保證金要求)。 將該合計值與做空期權的最低保證金要求比較(做空期權的最低保證金要求能確保對包含深度價外期權的投資組合收取了最低的保證金),取兩者中較大的值作為“商品組合”的風險。系統會用前述方法逐一計算所有“商品組合”的風險。投資組合的總保證金風險等於所有“商品組合”風險的總和減去由於不同“商品組合”間風險分散而折抵的保證金。
計算SPAN保證金要求的軟件叫作“PC-SPAN”,可在芝商所的網站上找到。
簡介
更多信息
期貨期權和期貨的保證金是由交易所根據SPAN保證金計算方法確定的。有關SPAN保證金系統及其計算邏輯,請參見芝商所(CME)網站www.cmegroup.com。在芝商所網站搜索SPAN,您會看到很多包括其計算邏輯在內的相關信息。SPAN保證金系統是一個通過分析幾乎所有市場情境下的假設情况來計算保證金要求的保證金計算系統。
SPAN的運行邏輯大致如下:
SPAN會通過計算由衍生品和實物産品所構成的投資組合在給定時間區間(通常爲一個交易日)內的最壞情况損失來評估投資組合的整體風險。最壞情况損失通常是通過計算投資組合在不同市場行情下的盈虧情况來完成。該計算方法的核心是SPAN風險陣列,即一系列可顯示某特定合約在不同行情下的盈虧情况的數據。每種行情算作一種風險情境。每種風險情境的數值代表該特定合約在對應價格(底層證券價格)變化、波動率變化和時間衰减的特定組合下會産生的盈虧。
交易所會以特定頻率向IBKR發送SPAN保證金文件,接著,該等文件會被導入到SPAN保證金計算器當中。所有期貨期權,除非已經過期或是平倉,否則始終都需要計算風險損失情况,即使處于價外也沒有關係。所有情境都必須考慮極端市場波動情况下的變化,因此,只要倉位還在,該等期貨期權的保證金影響就還要被納入考量。 我們會將SPAN保證金要求與IBKR預定義的極端市場波動情境進行比較,取較大者作爲保證金要求。
Introduction
Where to Learn More
Tools provided to monitor and manage margin
How to determine if you are borrowing funds from IBKR
Why does IBKR calculate and report a margin requirement when I am not borrowing funds?
The Standard Portfolio Analysis of Risk (SPAN) is a methodology developed by the CME and used by many clearinghouses and exchanges around the world to calculate the Performance Bond (i.e., margin requirement) on futures and options on futures which the clearinghouse collects from the carrying FCM and the FCM, in turn, from the client.
SPAN establishes margin by determining what the potential worst-case loss a portfolio will sustain over a given time frame (typically set to one day), using a set of 16 hypothetical market scenarios which reflect changes to the underlying price of the future or option contract and, in the case of options, time decay and a change in implied volatility.
The first step in calculating the SPAN requirement is to organize all positions which share the same ultimate underlying into grouping referred to as a Combined Commodity group. Next, SPAN calculates and aggregates, by like scenario, the risk of each position within a Combined Commodity, with that scenario generating the maximum theoretical loss being the Scan Risk. The 16 scenarios are determined based upon that Combined Commodity’s Price Scan Range (the maximum underlying price movement likely to occur for the given timeframe) and Volatility Scan Range (the maximum implied volatility change likely to occur for options).
Assume a hypothetical portfolio having one long future and a one long put on stock index ABC having an underlying price of $1,000, a multiplier of 100 and a Price Scan Range of 6%. For this given portfolio, the Scan Risk would be $1,125 scenario 14.
# |
1 Long Future |
1 Long Put |
Sum |
Scenario Description |
1 |
$0 |
$20 |
$20 |
Price unchanged; Volatility up the Scan Range |
2 |
$0 |
($18) |
($18) |
Price unchanged; Volatility down the Scan Range |
3 |
$2,000 |
($1,290) |
$710 |
Price up 1/3 Price Scan Range; Volatility up the Scan Range |
4 |
$2,000 |
($1,155) |
$845 |
Price up 1/3 Price Scan Range; Volatility down the Scan Range |
5 |
($2,000) |
$1,600 |
($400) |
Price down 1/3 Price Scan Range; Volatility up the Scan Range |
6 |
($2,000) |
$1,375 |
($625) |
Price down 1/3 Price Scan Range; Volatility down the Scan Range |
7 |
$4,000 |
($2,100) |
$1,900 |
Price up 2/3 Price Scan Range; Volatility up the Scan Range |
8 |
$4,000 |
($2,330) |
$1,670 |
Price up 2/3 Price Scan Range; Volatility down the Scan Range |
9 |
($4,000) |
$3,350 |
($650) |
Price down 2/3 Price Scan Range; Volatility up the Scan Range |
10 |
($4,000) |
$3,100 |
($900) |
Price down 2/3 Price Scan Range; Volatility down the Scan Range |
11 |
$6,000 |
($3,100) |
$2,900 |
Price up 3/3 Price Scan Range; Volatility up the Scan Range |
12 |
$6,000 |
($3,375) |
$2,625 |
Price up 3/3 Price Scan Range; Volatility down the Scan Range |
13 |
($6,000) |
$5,150 |
($850) |
Price down 3/3 Price Scan Range; Volatility up the Scan Range |
14 |
($6,000) |
$4,875 |
($1,125) |
Price down 3/3 Price Scan Range; Volatility down the Scan Range |
15 |
$5,760 |
($3,680) |
$2,080 |
Price up extreme (3 times the Price Scan Range) * 32% |
16 |
($5,760) |
$5,400 |
($360) |
Price down extreme (3 times the Price Scan Range) * 32% |
The Scan Risk charge is then added to any Intra-Commodity Spread Charges (an amount that accounts for the basis risk of futures calendar spreads) and Spot Charges (A charge that covers the increased risk of positions in deliverable instruments near expiration) and is reduced by any offset from an Inter-Commodity Spread Credit (a margin credit for offsetting positions between correlated products). This sum is then compared to the Short Option Minimum Requirement (ensures that a minimum margin is collected for portfolios containing deep-out-of-the-money options) with the greater of the two being the risk of the Combined Commodity. These calculations are performed for all Combined Commodities with the Total Margin Requirement for a portfolio equal to the sum of the risk of all Combined Commodities less any credit for risk offsets provided between the different Combined Commodities.
The software for computing SPAN margin requirements, known as PC-SPAN is made available by the CME via its website.
Futures options, as well as futures margins, are governed by the exchange through a calculation algorithm known as SPAN margining. For information on SPAN and how it works, please research the exchange web site for the CME Group, www.cmegroup.com. From their web site you can run a search for SPAN, which will take you to a wealth of information on the subject and how it works. The Standard Portfolio Analysis of Risk system is a highly sophisticated methodology that calculates performance bond requirements by analyzing the “what-ifs” of virtually any market scenario.
In general, this is how SPAN works:
SPAN evaluates overall portfolio risk by calculating the worst possible loss that a portfolio of derivative and physical instruments might reasonably incur over a specified time period (typically one trading day.) This is done by computing the gains and losses that the portfolio would incur under different market conditions. At the core of the methodology is the SPAN risk array, a set of numeric values that indicate how a particular contract will gain or lose value under various conditions. Each condition is called a risk scenario. The numeric value for each risk scenario represents the gain or loss that that particular contract will experience for a particular combination of price (or underlying price) change, volatility change, and decrease in time to expiration.
The SPAN margin files are sent to IBKR at specific intervals throughout the day by the exchange and are plugged into a SPAN margin calculator. All futures options will continue to be calculated as having risk until they are expired out of the account or are closed. The fact that they might be out-of-the-money does not matter. All scenarios must take into account what could happen in extreme market volatility, and as such the margin impact of these futures options will be considered until the option position ceases to exist. The SPAN margin requirements are compared against IBKR's pre-defined extreme market move scenarios and the greater of the two are utilized as margin requirement.
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