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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

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
2021/01/25~2021/01/29 download
2021/01/18~2021/01/22 download
2021/01/12~2021/01/15 download
2021/01/04~2021/01/08 download
2020/12/29~2020/12/30(Ad Hoc Modification of December. 28) download

Please refer to the following file for SPAN parameter setting.

Combined Commodity Effective Period Price Scan Range※ Price Scan Range for
mini futures※
Nikkei225 2021/01/25~2021/01/29 1,590,000 yen 159,000 yen
TOPIX 915,000 yen 91,500 yen
JPX Nikkei400 82,500 yen -
10-year JGB 720,000 yen 72,000 yen
Gold 234,000 yen 23,400 yen
Crude Oil 259,000 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 related to Financial Derivatives
Operational Procedures for Setting SPAN Parameters related to Commodity Derivatives

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 1250 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.