I currently trade intraday Options on the nearest term expiry and futures. Both E-mini S&P. I am trying to replicate the SPAN margin calculation for the entire portfolio of options and futures. So I can get realtime margin requirements. Without manually inputting into their CORE margin calculator.

I was wondering if this is possible. I've seen some CME documentation as to what their algo does and their scenerio stress testing but want to know if anyone has done it before/currently doing it.

It doesn't seem impossible. However, I've read a little on quant stack exchange that its not exactly public.

  • $\begingroup$ Yes, a friend of mine was able to duplicate the SPAN calculation a few years ago to a very high degree of accuracy. $\endgroup$ – Alex C Mar 11 at 2:00

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