Options & Futures Risk Arrays (OFRA)

OCC generates and distributes Options and Futures Risk Array (OFRA) parameter files that contain the product specifications, calculation parameters, and profit and loss arrays for certain exchange-traded futures and options cleared by OCC. The OFRA parameter files are in a format that is designed to be compatible with portfolio-based margining systems, including CME's PC-SPAN¹ system.

The OCC-generated OFRA parameter files are currently published on CME's FTP SPAN Downloads pages and the files are listed under the relevant exchanges' file code. (File codes are noted below.) The calculation parameters in the files include outright scan ranges and spread rates which are used to calculate a portfolio's performance bond/margin.

Report

CFE Scan Ranges
CFE Intra Commodity Spreads
CFE Series to Series Spreads
CFE Inter Commodity Spreads
SML Scan Ranges
SML Intra Commodity Spreads
SML Inter Commodity Spreads

Trading Day

¹SPAN® is a registered trademark of the Chicago Mercantile Exchange. The Chicago Mercantile Exchange assumes no liability in connection with the use of SPAN by any person or entity.