Clearing and Settlement of Derivatives

The SPAN uses the delta value of options to convert them to equiva-

lent futures when calculating the inter-month spread charge because

gains in one month may not exactly offset losses in another and there

is a risk for the clearing house.

Intra-day margin

As we have already said, in times of very large movements up or down

in the price of a contract, the clearing house or exchange will recalcu-

late the initial margin requirement. An additional amount may be

required per contract for all contracts open, which are affected. It is

unlikely that all contracts are affected because the news that caused

the volatility may concern ...