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MarginGetting SPAN Data & Info

Getting SPAN® Data & Info

SPAN Risk Parameter Files

SPAN risk parameter files are available for the latest five files.

SPAN risk parameter files
  • Please refer to here for List of Contract Months Codes of Nikkei 225 Options for Weekly Contracts

SPAN Parameters

SPAN parameters are the data used to calculate risk array values, etc. contained in the SPAN risk parameter files. JSCC sets and publishes new parameters on the first business day each week around 3:00 pm, which are applicable from the first business day in the following week. Nonetheless, in the event of volatile market movement, JSCC may modify SPAN parameters on a temporary basis.

SPAN Parameters
2020/01/20~2020/01/24 download
2020/01/14~2020/01/17 download
2020/01/06~2020/01/10 download
2019/12/30~2019/12/30 download
2019/12/23~2019/12/27 download

Please refer to the following file for SPAN parameter setting.

Combined Commodity Effective Period Price Scan Range※
Nikkei225 2020/01/20~2020/01/24 720,000 yen
TOPIX 480,000 yen
JPX Nikkei400 42,500 yen
10-year JGB 480,000 yen

※Price Scan Range is one of the parameters used for SPAN®, and is equal to the required amount of Margin for 1 unit of long/short Futures.

• See the file below for SPAN Parameter Setting Method.

Operational Procedures for Setting SPAN Parameters

Guide chart of Price Scan Range

Price Scan Range (PSR) of Nikkei 225 Futures would be changed by the level of Nikkei Stock Average and the volatility. Please refer to the below guide chart for the PSR simulated by the combination of the level of Nikkei Stock Average and the volatility.

calculation method

* VI to be used for the calculation of Price Scan Range will be the smaller of the following (i) or (ii); provided that if such value is smaller than the greater of (x) the average VI for past 250 business days counting backwards from the date on which JSCC calculates SPAN Parameters (hereinafter referred to as the "Reference Date") and (y) the average VI for past 500 business days counting backwards from the Reference Date, then the value of (x) or (y), whichever is greater, shall be used:
(i) VI on the Reference Date; and
(ii) the average VI for past 5 business days counting backwards from the Reference Date.