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This is an interesting topic. I assumed that you are looking for a public data source. Here is the margin data as reported by NYSE organizations (nyxdata) that offers a downloadable file. Here is the page of FINRA for Margin Statistics. This is an HTML page, I did not find a link to download a data file. You can validate the two sources against each ...


The reason the SPAN method looks complicated is that it is used for calculating the margin requirements for portfolios of options and futures, and therefore has to deal with changing volatilies as well as spot prices. If you just want to calculate the margin requirement for futures, in principle it is much simpler, as you just need to worry about moves in ...

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