SPAN Risk Parameter File

The SPAN risk parameter file is produced at the end of each day by the Clearing House. The risk parameter file contains a risk array for every futures and options contract that is listed on the Exchange. These risk arrays show the dollars gains or losses under each of the SPAN risk scenarios for one long position in each of the futures and option contracts.

The risk parameter file also contains a composite delta for each futures and options contract. The composite delta is the weighted average of each of the scenario delta's.

The risk parameter file is a raw character (unpacked) ascii file with fixed length 80-byte records, without record delimiters. It can be used as an input into PC-SPAN or for a tailored SPAN system.

The SFE also provides an enhanced version of the SPAN file that includes prices on expiry, ONO and IDO prices. Use the links below to download either the standards risk parameter file or the Enhanced SPAN file as a self extracting zip file or as a zip file.

Standard Risk Parameter files

Intra-Day SPAN files

Enhanced SPAN files

CFD Parameter files