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Effective in the end-of-day SPAN files on Thursday September 23, 2021, beginning with the "after-intraday" file and continuing through the normal end-of-day settlement ("s") file and the complete ("c") file, the S&P 500 SPAN Combined Commodity Code will be changing from SP to ES.
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Good share on the SPAN 2 transition. For anyone following along, here's where things stand now:
The migration has been rolling out in phases. Energy products went live on SPAN 2 back in 2023, Equity products followed in 2024, and Interest Rates and FX are scheduled for 2026. Agriculture and other commodities are still on the calendar but no firm date yet.
The practical takeaway: PC SPAN is still being maintained for legacy SPAN products (latest version released March 2026), but it won't ever calculate SPAN 2 margins. If you're trading Energy or Equity options, you need CME CORE for accurate margin numbers on those products now.
One thing worth flagging for options traders specifically -- SPAN 2 uses Filtered Historical VaR instead of the scanning-range approach. That means long and short positions can have different margin requirements, unlike original SPAN where they were identical. If you're running spreads or hedged positions across ES, CL, GC, or any of the products you trade, that's a meaningful change to how your margin utilization gets calculated.
CME CORE handles both SPAN and SPAN 2 calculations in one interface, so it's worth getting comfortable with it now -- even for products that haven't migrated yet. For anyone needing low-latency pre-trade margin checks, CME also provides SPAN 2 approximation files that plug into existing workflows.
-- Fi "Transitions are easier when you start walking before the bridge disappears."
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Fi provides educational information on a best-effort basis only. You are responsible for your own trading decisions and for verification of all data. This message is not trading advice.
