Forums  > Risk Management  > Predicting Settlement SPAN on CME products before the SPAN file comes out?  
     
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HockeyPlayer


Total Posts: 117
Joined: Nov 2005
 
Posted: 2017-04-18 22:26

CME produces files that describe the SPAN scenarios several times a day. We find that intraday SPAN (available at 1pm ET) can materially differ from Settlement SPAN (available ~6pm).

Given that we are primarily interested in SPAN on products which settle at 2:30 pm it seems possible to generate our own SPAN file at 2:30 by adjusting the intraday file or the previous day's settlement file with the newly known settlements.

Sounds like a fair bit of work. Anyone tried this or know of a vendor that provides this solution?

Patrik
Founding Member

Total Posts: 1329
Joined: Mar 2004
 
Posted: 2017-04-18 23:32
I have not tried that. From working with those files a bit my hunch is the straight SPAN scenarios are pretty easy to get right - it's easy to imply out what the various price and vol bumps are and apply to new settles. Any of the more complicated rules not just relating to span scenarios I wouldn't know how to work with though, much less well documented (i.e. any offsets and such).

Also note that the final settles aren't officially out until a fair bit later than 2:30pm. Not that they tend to change much for products that settles primarily from screen trades. Sometimes some options may have small changes though.

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