CME SPAN Data Parsing Application
Objective
Our client manages a significantly sized futures options portfolio, across various commodity markets. The CME publishes SPAN data for option on futures contracts traded on the CME, but the data format outputs are difficult to parse for internal use, and current offerings were of limited value to the client’s needs for managing their risk.
Client: Commodity Trading Advisor
Solution
Our team built a custom application which automatically loads the daily data dump, parses the data and generates actionable reports our client could use to make important trading and hedging decisions for optimizing SPAN margin.
Project Implementation
- Ability to quickly model, on an intraday-basis, the impact of new positions on end of day SPAN Margin.
- Automated end of day SPAN file data dump downloads into the application, with in-app search features for any product traded on the CME.
- Capability for system to provide alerting on position risk resulting in a potential margin call.
- Proprietary option scanning add-ons for stand-alone trading strategies.
Technologies Used
