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 deltas.

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

Use the links below to download the SPAN file as a zip file.  The zip file contains both .pa2 and .spn files.


* Please note that the following file will only be available on a public holiday or during early settlement: