SPAN Parameter
OSE has set up SPAN Parameter for calculating margin requirements as follows.
This SPAN Parameter is used for calculating "SPAN Risk Parameter Files" which are distributed on a daily basis. OSE sets and publishes new Parameters on the first business day of each week, which are applicable from the first business day of the next week.
| SPAN Parameter | |||
|---|---|---|---|
| Applied Period |
Price Scan Range Factor for Nikkei 225 |
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| Applied from May 21, 2012 to May 25, 2012 | 360 yen |
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| Applied from May 14, 2012 to May 18, 2012 | 330 yen |
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| Applied from May 07, 2012 to May 11, 2012 | 330 yen |
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| Applied from May 01, 2012 to May 02, 2012 | 300 yen |
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| Applied from Apr. 23, 2012 to Apr. 27, 2012 | 330 yen |
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| Historical Data : SPAN Parameter for Nikkei 225 |
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*Please click here for trial calculation value of the Price Scan Range of Nikkei 225 (Updated every Wednesday).
Please be advised that SPAN Parameter is subject to change during the applied period upon market conditions.
Please note that if the last contract price (excluding Strategy Trading and J-NET Derivatives Trading) of the nearest contract month for Nikkei 225 Futures (Large contract) at 11 a.m. changes more than Price Scan Range Factor (Price Scan Range / Trading Unit) above or below the settlement price on the previous business day, Emergency Margin Call will be triggered.
In principal, the interim update of SPAN Parameters will be triggered if the following condition is fulfilled. In this case, OSE will apply new parameters based upon the latest value if each calculation result exceeds the value already scheduled to be applied.
- Nikkei 225 Combined Commodity
The absolute value of the fluctuation between the day's and the previous business day's Nikkei Stock Average (Nikkei 225) closing value becomes equal to or exceeds twice the day's Price Scan Range for Nikkei 225 Combined Commodity divided by 1,000
- Nikkei 225 VI Combined Commodity
The absolute value of the fluctuation between the day's and the previous business day's Nikkei 225 VI closing value becomes equal to or exceeds twice the day's Price Scan Range for Nikkei 225 VI Combined Commodity divided by 10,000
