美股市场偶尔会发生极端波动和价格混乱。 有时这类情况持续时间很长，有时又很短。止损单可能会对价格施加下行压力、加剧市场波动，且可能使委托单在大幅偏离触发价格的位置上成交。 

“标准投资组合风险分析（SPAN）”是芝加哥商品交易所（CME）创建的一种计算保证金要求的方法。全球多家清算所和交易所都使用该方法来计算期货及期货期权的“履约保证”（即保证金要求）。清算所会从期货经纪商（FCM）处收取履约保证，期权经纪商则从其客户处收取。

SPAN会使用16种假设的市场情境来评估投资组合在给定期限内（通常设为一天）在最差的情况下可能遭受的损失，进而得出保证金金额。这16种假设情境会反映期货或期权合约底层价格的变动，对于期权，还会反映时间衰减和隐含波动率的变动。 

计算SPAN要求的第一步是将所有底层产品相同的持仓合并为一个 “商品组合”。下一步，SPAN会计算和加总某一种情境下“商品组合”内每一个持仓的风险，并将理论损失最大的情境下的风险定义为“扫描风险”。16种情境是基于“商品组合”价格扫描范围（给定期限内底层产品的最大价格波动）和波动率扫描范围（期权最大隐含波动率变动）得出的。

假设一个投资组合由股票指数ABC的一张多头期货合约和一张多头看跌期权合约组成，底层价格为1000美元，乘数为100，价格扫描范围为6%。对于该给定的投资组合，“扫描风险”为情境14下的1125美元。

然后，用“扫描风险”加上同商品跨月价差风险值（衡量期货日历价差基础风险的值）和交割风险值（衡量可交割的持仓由于临近到期日而上升的风险），再减去跨商品价差折抵值（由于有相关性的产品互相分散了风险而降低的保证金要求）。  将该合计值与做空期权的最低保证金要求比较（做空期权的最低保证金要求能确保对包含深度价外期权的投资组合收取了最低的保证金），取两者中较大的值作为“商品组合”的风险。系统会用前述方法逐一计算所有“商品组合”的风险。投资组合的总保证金风险等于所有“商品组合”风险的总和减去由于不同“商品组合”间风险分散而折抵的保证金。 

计算SPAN保证金要求的软件叫作“PC-SPAN”，可在芝商所的网站上找到。

Background

Clients who simultaneously hold both long and short positions of a given futures contract having different delivery months are often provided a spread margin rate that is less than the margin requirement for each position if considered separately. However, as the settlement prices of each contract may deviate significantly as the front month contract approaches its close out date, IBKR will reduce the benefit of the spread margin rate to reflect the risk of this price deviation.

Spread Margin Adjustment

This reduction is accomplished by effectively decoupling or breaking the spread in phases on each of the 3 business days preceding the close out date of the front contract month, as follows:

• On the 3rd business day prior to close out, the initial and maintenance margin requirements will be equal to 10% of their respective requirements on each contract month as if there was no spread, plus 90% of the spread requirement;
• On the 2nd business day prior to close out, the initial and maintenance margin requirements will be equal to 20% of their respective requirements on each contract month as if there was no spread, plus 80% of the spread requirement;
• On the business day prior to close out, the initial and maintenance margin requirements will be equal to 30% of their respective requirements on each contract month as if there was no spread, plus 70% of the spread requirement.

Working Example

Assume a hypothetical futures contract XYZ with the margin requirements as outlined in the table below:

Further assume a position consisting of 1 short front month contract and 1 long back month contract with the front month contract close out date = T.  using this hypothetical example, the initial margin requirement over the 3 business day period preceding close out date is outlined in the table below:

The CFTC, the primary regulator of U.S. commodity futures markets and Futures Commission Merchants (FCMs), operates a comprehensive system of collecting information on market participants as part of its market surveillance and large trader reporting program.

IBKR, as a registered FCM providing clients with access to those markets, is obligated to report to the CFTC information on clients who hold a position in a quantity that exceeds defined thresholds (i.e., a "reportable position").  In order to report this information, IBKR requires clients trading U.S. futures or futures options to complete an online CFTC Ownership and Control Reporting form at the point the client requests futures trading permissions.

Once a client holds a "reportable position", the CFTC may then contact that client directly and require them to file  more detailed information via CFTC Form 40. The information required of this report includes the following:

• Trader's name and address
• Principal business
• Form of ownership (e.g., individual, joint, partnership, corporation, trust, etc.)
• Whether the reporting trader is registered under the Commodity Exchange Act
• Whether the reporting trader controls trading for others
• Whether any other person controls the trading of the reportable trader
• Name and location of all firms through which the reportable trader carries accounts
• Name and location of other persons providing a trading guarantee or having a financial interest in account of 10% or greater
• Name of accounts not in the reporting trader's name in which the trader provides a guarantee or has a financial interest of 10% or more.

Clients who fail to complete this Form in a timely manner may be subject to trading restrictions and/or fines imposed by CFTC upon their account at the FCM.  It is therefore imperative that clients immediately respond to these CFTC requests.

To complete the CFTC Form 40, clients must first register for a CFTC Portal Account, an online process which is subject to a review period of 2 business days from the point of initial registration to acknowledgement of approval by the CFTC.  For information regarding this registration process and completing the Form 40, see KB3149.