Spreads Detail Report
This report will show the details of each spread that is formed from the positions in a given portfolio, along with its available and remaining delta value and any resulting charges or credits. To use this report, first:
After creating a new portfolio, select Toolsfrom the Span toolbar
Select Preferences
Select the Calculation Parameterstab
Under the Log What section, select Include Calculations - all details (slow). Choose OK
Return to the Span toolbar and select View
Under View, select Log - now the screen is split and the log is viewable at the bottom
Now calculate the portfolio - the portfolio cannot be calculated before the above steps are completed
Choose Save Log, name the file and save it as "filename.log"
In Reports, select the Spreads Detail Report from the Portfolio folder
In the prompt window, enter the path and file that was named above
A window containing a warning about an Active X Control will pop up - choose Yes to continue
Span will produce the Spreads Detail Report
Spread Type:
The spread is classified into one of the following types:
Intra:Â Additional intracommodity charges for spread positions from the same product group with different expirations
Inter:Â Intercommodity credits for spread positions in related instruments
Intex:Â Interexchange credits for spread positions at different exchanges
Spread #
Span assigns a specific Spread number to every possible spread that is formed. For a complete listing of Spread numbers, (depending on the type of spread) view either the IntraSpreads, InterSpread or InterExch. spread reports under the Risk Parameters Folder.Â
# of Spreads FormedÂ
This shows the actual number of spreads Span forms from the given portfolios.
Rate ID:Â Identifies the class to which charges or credits are applied.
Curr:Â Â The currency used for each spread.
Comb Comm:Â Â Â Combined Commodity
The set of all eligible products used to generate a total requirement for each Exchange Complex within a portfolio. A Combined Commodity generally consists of all products of the same underlying physical. For example, at the CME, the Eurodollar combined commodity encompasses Mid-Curve options, Eurodollars and Eurodollar options. To view the complete listing of Combined Commodities, refer to the Combined Commodities report under the Risk Parameters folder.
Tier No.: A tier is a set of consecutive contract expirations for one Combined Commodity. The tier number refers to a series of contract expirations within a tier. Overall is used to identify all contract expirations in a Combined Commodity. A period is a particular contract month.
Delta Available: Total delta available for a contract before the identified spread has been calculated.
Delta Remaining:Â Total delta left for a contract after the identified spread has been calculated
Charge/Credit:Â Intracommodity Charge/InterCommodity Credit
Intracommodity Charge:Â The additional charge for the identified spread.
InterCommodity Credit:Â The offsetting credit for the identified spread.Â
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