# What Are the Capital Efficiency Implications of Using Span versus Tims for a Mixed Derivatives Portfolio? ▴ Question

**Published:** 2025-08-02
**Categories:** Question

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## Concept

The selection of a margin methodology represents a foundational architectural decision for any institution managing a [derivatives portfolio](https://prime.greeks.live/area/derivatives-portfolio/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite). This choice is an active design of the firm’s capital structure, directly defining the efficiency with which collateral is deployed and the precision with which risk is measured. The debate between using the Standard Portfolio Analysis of Risk (SPAN) and the Theoretical Intermarket Margin System (TIMS) for a [mixed derivatives portfolio](https://prime.greeks.live/area/mixed-derivatives-portfolio/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite) is a deliberation on the very operating system that will govern a firm’s liquidity and risk posture. It is a choice between two distinct philosophical approaches to quantifying potential loss, each with its own logic, language, and implications for the balance sheet.

Understanding these systems begins with recognizing their origins and the specific market ecosystems they were designed to model. SPAN, developed by the Chicago Mercantile Exchange (CME), was born from the world of futures. Its architecture is inherently geared towards the complexities of commodities, interest rates, and equity indices, and the array of options tied to these underlyings. The system is designed to assess the total risk of a portfolio of [futures and options](https://prime.greeks.live/area/futures-and-options/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite) by evaluating it as a unified whole, calculating the maximum likely loss from a series of potential market movements.

Its logic is rooted in the concept of ‘combined commodities,’ grouping instruments with the same underlying for analysis and then scanning for inter-commodity offsets. This structure reflects the interconnected, yet distinct, nature of futures markets.

> The choice between SPAN and TIMS is a fundamental design choice for a firm’s capital and risk architecture.

Conversely, TIMS was developed by the [Options Clearing Corporation](https://prime.greeks.live/area/options-clearing-corporation/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite) (OCC) and its design principles are anchored in the world of equities and equity options. TIMS operates on a portfolio-based [margin calculation](https://prime.greeks.live/area/margin-calculation/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite) that simulates gains and losses for positions under a multitude of market scenarios. Its core function is to determine a single net risk value for a portfolio of securities, including stocks, options, and futures. The system’s strength lies in its capacity to handle the specific risk characteristics of equity derivatives and provide offsets for strategies that involve both options and their underlying securities.

It views the world through ‘class groups,’ where all instruments tied to the same underlying delivery component are evaluated together. This approach provides a granular view of risk for portfolios concentrated in equity and index options.

The [capital efficiency](https://prime.greeks.live/area/capital-efficiency/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite) implications arise directly from these foundational differences in design. For a truly mixed derivatives portfolio ▴ one containing [equity options](https://prime.greeks.live/area/equity-options/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite), index futures, single-stock futures, and perhaps even commodity or currency derivatives ▴ the choice of methodology dictates how risk offsets are identified and monetized. The efficiency of the margin calculation depends entirely on the system’s ability to recognize and accurately quantify the risk-reducing effects of a portfolio’s various hedges and diversified positions.

A system that accurately models the correlations and volatilities inherent in a specific [portfolio composition](https://prime.greeks.live/area/portfolio-composition/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite) will demand less collateral, freeing up capital for deployment in other alpha-generating strategies. The selection is therefore a direct input into a firm’s return on capital.

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## What Is the Core Calculation Philosophy?

At the heart of both SPAN and TIMS is a commitment to risk-based margining, a significant evolution from older, static rules-based systems. Both methodologies employ [Value-at-Risk](https://prime.greeks.live/area/value-at-risk/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite) (VaR) principles to estimate the potential losses a portfolio could face over a specific time horizon, typically one day, to a high degree of statistical confidence. They achieve this by subjecting the portfolio to a series of complex stress tests or ‘scenarios.’ Each scenario represents a potential future state of the market, defined by changes in the price of the underlying assets and shifts in implied volatility.

SPAN’s approach is built around a proprietary data file known as the SPAN risk parameter file. This file contains ‘[risk arrays](https://prime.greeks.live/area/risk-arrays/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite),’ which are pre-computed values that quantify how each contract will gain or lose value under a standardized set of 16 [market scenarios](https://prime.greeks.live/area/market-scenarios/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite). These scenarios involve a range of price and volatility movements.

The system calculates the profit or loss for the entire portfolio under each of these 16 scenarios, and the largest calculated loss becomes the primary component of the [margin requirement](https://prime.greeks.live/area/margin-requirement/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite). This method is computationally efficient because the complex modeling is embedded within the risk arrays provided by the exchange, allowing firms to calculate requirements by applying these values to their specific positions.

TIMS employs a similar scenario-based analysis, but its execution is distinct. Instead of relying on standardized risk arrays, TIMS uses an options pricing model to dynamically revalue every position in the portfolio across a wide range of hypothetical market conditions. The OCC’s methodology is augmented by a number of ‘house’ scenarios designed to capture additional risks like extreme market moves or concentrated positions.

The margin requirement is determined by identifying the scenario that results in the greatest loss for the portfolio. This approach offers a high degree of precision as it re-prices the portfolio from the ground up in each scenario, capturing the non-linear payoff structures of complex options strategies with great fidelity.

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## Strategy

The strategic decision to adopt either SPAN or TIMS as the primary margin calculation framework is a function of a portfolio’s composition, the firm’s overarching trading strategy, and its desired capital structure. The goal is to select the system whose risk modeling most closely aligns with the actual economic exposures of the portfolio, thereby minimizing collateral requirements without compromising the integrity of the risk management function. A mismatched methodology can lead to overstated margin calls, trapping valuable capital, or understated risk assessments, creating unseen vulnerabilities.

For an institution with a portfolio heavily weighted towards futures and options on futures, the strategic alignment with SPAN is clear. SPAN was engineered by a futures exchange for futures products. Its system of ‘combined commodities’ and its two-tiered spreading mechanism (intra-commodity and inter-commodity) is designed to accurately capture the [basis risk](https://prime.greeks.live/area/basis-risk/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite) and correlation offsets that are characteristic of futures markets. For example, a strategy involving a calendar spread in crude oil futures (long one month, short another) or a crush spread in soybeans (long soybeans, short soybean oil and meal) is modeled with high fidelity within the SPAN framework.

The system explicitly recognizes these relationships and provides capital-efficient margining for them. A firm specializing in commodity trading or macro strategies expressed through [index futures](https://prime.greeks.live/area/index-futures/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite) would find SPAN’s architecture to be a natural and efficient fit.

> A firm’s margin methodology should be a direct reflection of its trading strategy and portfolio composition.

Conversely, a firm whose strategy is centered on equity options, such as a volatility arbitrage fund or a manager writing covered calls on a large single-stock position, will likely find TIMS to be the more strategically advantageous choice. TIMS’s ‘[class group](https://prime.greeks.live/area/class-group/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite)’ structure, which groups all derivatives with the same underlying deliverable, is perfectly suited for recognizing the direct offset between an option and its underlying stock. For complex, multi-leg equity option strategies, TIMS’s dynamic re-pricing of the portfolio under various scenarios can capture the nuanced, non-linear risk profile more precisely than SPAN’s array-based system. The ability of TIMS to incorporate a broader range of equity securities, including stocks and ETFs, into its portfolio margin calculation offers a significant capital efficiency advantage for equity-centric portfolios.

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## Portfolio Composition and Netting Efficiency

The critical factor in capital efficiency is the system’s ability to grant offsets for positions that reduce a portfolio’s overall risk. A mixed derivatives portfolio, by its nature, contains a variety of instruments that may or may not be correlated. The strategic challenge is to choose the methodology that recognizes the maximum number of legitimate [risk offsets](https://prime.greeks.live/area/risk-offsets/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite).

Consider a portfolio containing S&P 500 [E-mini futures](https://prime.greeks.live/area/e-mini-futures/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite), options on the SPY ETF, and options on individual technology stocks.

- **Under SPAN** ▴ The system would first analyze the S&P 500 futures and any options on those futures as a single ‘[combined commodity](https://prime.greeks.live/area/combined-commodity/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite).’ It would then look for [inter-commodity spread](https://prime.greeks.live/area/inter-commodity-spread/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite) credits between the S&P 500 complex and other positions. While SPAN can provide some offset between correlated equity products, its primary design is for futures. The offset between a futures position and an option on a related but distinct ETF like SPY might be less than 100%, reflecting a basis risk that the system is designed to account for.

- **Under TIMS** ▴ The system would group the [SPY options](https://prime.greeks.live/area/spy-options/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite) with other instruments based on the S&P 500 index, potentially including the E-mini futures. Because both SPY and the E-mini future are based on the S&P 500 index, they would belong to the same ‘class group’ and receive a very high degree of offsetting credit. This direct recognition of a shared underlying is a core feature of the TIMS design. The result is often a lower margin requirement for portfolios that mix futures and cash-based products on the same index.

This highlights the central strategic trade-off. SPAN provides robust, granular analysis within specific futures product families but may be less efficient at netting risk across different product types (e.g. futures vs. single stocks). TIMS excels at netting risk among any instruments that share a common [underlying asset](https://prime.greeks.live/area/underlying-asset/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite) but may not offer the same level of granularity for complex commodity spreads that have no shared deliverable but are economically correlated.

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## Comparative Framework of Methodologies

To formalize the strategic choice, a direct comparison of the systems’ core attributes is necessary. The following table outlines the key differences in their approach, which in turn drive the capital efficiency outcomes for different portfolio structures.

| Attribute | CME SPAN | OCC TIMS |
| --- | --- | --- |
| Primary Design Focus | Futures and Options on Futures | Equity Options and their Underlyings |
| Core Unit of Analysis | Combined Commodity (e.g. WTI Crude complex) | Class Group (e.g. all instruments based on S&P 500) |
| Calculation Method | Application of pre-computed Risk Arrays for 16 standard scenarios. | Dynamic re-pricing of all portfolio components across multiple scenarios. |
| Offset Mechanism | Intra-commodity spreads and Inter-commodity spread credits based on historical correlations. | Netting of all positions within a Class Group with a common underlying. |
| Ideal Portfolio Type | Portfolios with commodity spreads, interest rate futures, and index futures. | Portfolios with significant equity option strategies, stock-option pairs, and index arbitrage. |

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## Execution

The execution of margin calculations under SPAN and TIMS involves distinct operational workflows and data requirements. For a portfolio manager or risk officer, understanding these mechanics is essential for predicting daily capital needs, optimizing portfolio construction, and ensuring compliance. The theoretical advantages of each system are only realized through precise and robust implementation within a firm’s trading and risk infrastructure.

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## The SPAN Calculation Protocol

The [SPAN methodology](https://prime.greeks.live/area/span-methodology/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite) is executed through a sequential, multi-step process. It is a deterministic protocol that, given a standard SPAN parameter file from an exchange and a portfolio, will always yield the same result. The operational steps are as follows:

- **Data Aggregation** ▴ The first step is to aggregate all positions into their respective ‘Combined Commodities.’ For example, all [futures contracts](https://prime.greeks.live/area/futures-contracts/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite) and options on [WTI crude oil](https://prime.greeks.live/area/wti-crude-oil/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite), regardless of expiration month, are grouped together.

- **[Scan Risk](https://prime.greeks.live/area/scan-risk/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite) Calculation** ▴ For each Combined Commodity, the system calculates the ‘Scan Risk.’ It does this by taking the portfolio’s net position within that commodity and applying the 16 risk arrays from the SPAN file. Each array corresponds to a specific scenario of price and volatility change. The system computes the portfolio’s gain or loss for all 16 scenarios. The largest loss among these scenarios is designated as the Scan Risk for that commodity.

- **[Intra-Commodity Spread Charge](https://prime.greeks.live/area/intra-commodity-spread-charge/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite)** ▴ SPAN recognizes that price movements are not perfectly correlated across different contract months within the same commodity (basis risk). It assesses an ‘Intra-Commodity Spread Charge’ for calendar spreads. The system identifies offsetting positions across different expirations and applies a specific charge for this basis risk, which is typically much lower than the outright margin on two separate positions.

- **[Inter-Commodity Spread Credit](https://prime.greeks.live/area/inter-commodity-spread-credit/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite)** ▴ The system then searches for risk-reducing opportunities across different, but related, Combined Commodities. For instance, a long position in Brent crude and a short position in WTI crude may have a degree of negative correlation. SPAN provides an ‘Inter-Commodity Spread Credit’ based on historical correlation data provided in the parameter file. This credit reduces the total margin requirement.

- **Short Option Minimum (SOM)** ▴ A final check is performed to account for the specific risks of short options, such as assignment risk and the potential for extreme losses if the market moves dramatically. The SOM is a floor for the margin on short option positions. The margin for the short options is the greater of the risk calculated through the scanning process or the SOM.

- **Final Aggregation** ▴ The total margin requirement for the portfolio is the sum of the final risk requirements for each Combined Commodity (Scan Risk + Spread Charges – Spread Credits), converted to a common currency.

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## The TIMS Calculation Protocol

The [TIMS methodology](https://prime.greeks.live/area/tims-methodology/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite) is more dynamic in its execution, relying on real-time pricing models rather than static arrays. Its operational workflow is centered on holistic portfolio revaluation.

- **Portfolio Grouping** ▴ Positions are grouped into ‘Class Groups’ based on their common underlying asset. For example, options on Apple (AAPL), shares of AAPL, and any warrants on AAPL would all be in the same Class Group. Similarly, SPY options and S&P 500 E-mini futures would be grouped together.

- **Scenario Definition** ▴ TIMS defines a grid of market scenarios. These are not limited to a fixed number like SPAN’s 16. The scenarios cover a range of up-and-down movements in the price of the underlying asset for each Class Group. A standard grid might involve ten or more price shocks. Additionally, scenarios for changes in implied volatility are applied.

- **Portfolio Revaluation** ▴ The core of the TIMS execution is the re-pricing of every single instrument in the portfolio under each defined scenario. An appropriate pricing model (like Black-Scholes for options) is used to calculate the new theoretical value of each position at each point on the scenario grid.

- **Loss Calculation** ▴ For each scenario, the system calculates the total profit or loss of the entire portfolio by summing the gains and losses of every position.

- **Requirement Determination** ▴ The final margin requirement is simply the largest loss calculated across all the scenarios tested. This single number represents the system’s estimate of the reasonable worst-case one-day loss for the portfolio as a whole.

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## How Do the Methodologies Compare in Practice?

To illustrate the capital efficiency implications, consider a hypothetical mixed derivatives portfolio. The goal is to see how the different netting and risk assessment philosophies of SPAN and TIMS translate into a final margin number.

**Hypothetical Portfolio** ▴ 

- **Position 1** ▴ Long 10 E-mini S&P 500 Futures (ES) contracts.

- **Position 2** ▴ Short 100 SPY At-the-Money Call Options (SPY is an ETF tracking the S&P 500).

- **Position 3** ▴ Long 10,000 shares of SPY stock (a direct hedge for the short calls).

- **Position 4** ▴ Long 20 WTI Crude Oil (CL) Futures contracts.

- **Position 5** ▴ Short 20 Brent Crude (BRENT) Futures contracts (an inter-commodity spread).

The following table provides a simplified, illustrative comparison of the margin calculation for this portfolio under both systems. The values are conceptual to demonstrate the mechanical differences.

| Portfolio Component | Outright Margin (Conceptual) | SPAN Execution Analysis | TIMS Execution Analysis |
| --- | --- | --- | --- |
| ES Futures & SPY Options/Stock | $150,000 | Recognizes ES and SPY are correlated. Applies an inter-commodity spread credit. The hedge between SPY calls and stock is not perfectly netted with the futures. Margin might be ~$60,000. | Groups all S&P 500 based products (ES, SPY options, SPY stock) into one Class Group. Recognizes the perfect offset between the short calls and long stock, and the high correlation with ES futures. Margin might be ~$25,000. |
| WTI vs Brent Spread | $80,000 | Recognizes this as a classic inter-commodity spread. Applies a large spread credit based on the historical correlation of WTI and Brent. Margin might be ~$10,000. | Analyzes the spread based on scenario valuation. As WTI and Brent are different underlyings, they are in separate Class Groups. The offset is recognized but may be less direct than SPAN’s specific spread charge model. Margin might be ~$15,000. |
| Total Estimated Margin | $230,000 | ~$70,000 | ~$40,000 |

This simplified case study demonstrates the core principle. For the equity and index portion of the portfolio, TIMS provides superior capital efficiency by treating all instruments with the same underlying as a single risk pool. For the pure commodity futures spread, SPAN’s dedicated spread methodology provides a more favorable outcome.

A portfolio manager must therefore assess which portion of their portfolio represents the dominant source of risk and collateral consumption to make the optimal choice. For a truly mixed portfolio, the ability to use a TIMS-based calculation often results in lower overall margin due to its powerful cross-product netting capabilities for index and equity-related instruments.

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## References

- Chicago Mercantile Exchange. “CME SPAN Methodology.” CME Group, 2019.

- Options Clearing Corporation. “Theoretical Intermarket Margin System (TIMSSM) Methodology.” OCC, 2022.

- Hull, John C. Options, Futures, and Other Derivatives. 11th ed. Pearson, 2021.

- Figlewski, Stephen. “Portfolio-Based Margining ▴ A Better, Smarter, Safer Way to Manage Risk.” Journal of Portfolio Management, vol. 32, no. 5, 2006, pp. 13-22.

- Kupiec, Paul H. “A Comparison of Portfolio-Based Margining Methods.” The Journal of Derivatives, vol. 1, no. 3, 1994, pp. 55-64.

- Harris, Larry. Trading and Exchanges ▴ Market Microstructure for Practitioners. Oxford University Press, 2003.

- Duffie, Darrell, and Kenneth J. Singleton. Credit Risk ▴ Pricing, Measurement, and Management. Princeton University Press, 2003.

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## Reflection

The analysis of SPAN versus TIMS moves the conversation about margin from a simple cost center to a core component of strategic capital allocation. The knowledge of their mechanical differences provides a technical foundation, but the true insight comes from viewing these methodologies as integral parts of a firm’s operational architecture. How does your current system for risk and collateral management reflect the specific economic realities of your portfolio? Does it merely satisfy regulatory requirements, or does it actively contribute to capital efficiency and, by extension, to the firm’s overall performance?

> The ultimate goal is an operational framework where capital is as dynamic and responsive as the markets themselves.

Viewing this choice through a systems lens prompts a deeper inquiry. It compels a firm to quantify the cost of a suboptimal methodology ▴ not just in terms of excess collateral posted, but in missed opportunities. The capital trapped by inefficient netting is capital that cannot be deployed to a new strategy, used to absorb a temporary drawdown, or held to increase the firm’s resilience.

Therefore, the selection and implementation of a margin system is a continuous process of optimization, requiring a profound understanding of both the portfolio’s character and the intricate logic of the risk models available. The ultimate objective is to build an operational framework where capital is as dynamic and responsive as the markets it is designed to navigate.

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## How Can We Model Future Portfolio Needs?

The decision made today must also anticipate the portfolio of tomorrow. A firm’s strategy evolves, expanding into new asset classes and more complex derivative structures. Does the chosen methodology offer the flexibility to adapt to this evolution? A forward-looking analysis involves stress-testing not just the current portfolio, but also hypothetical future portfolios against each methodology.

This predictive exercise can reveal the scaling properties of each system and its ability to accommodate strategic shifts without imposing punitive capital constraints. It transforms the discussion from a static comparison to a dynamic plan for future growth and operational agility.

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## Glossary

<a href="https://prime.greeks.live/area/mixed-derivatives-portfolio/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite" class="glossary-item-box">
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## Mixed Derivatives Portfolio

Meaning ▴ A Mixed Derivatives Portfolio comprises various types of derivative contracts, such as options, futures, and swaps, potentially across multiple underlying assets, including cryptocurrencies. </a><a href="https://prime.greeks.live/area/derivatives-portfolio/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite" class="glossary-item-box">
![A metallic rod, symbolizing a high-fidelity execution pipeline, traverses transparent elements representing atomic settlement nodes and real-time price discovery. It rests upon distinct institutional liquidity pools, reflecting optimized RFQ protocols for crypto derivatives trading across a complex volatility surface within Prime RFQ market microstructure](https://options.greeks.live/wp-content/uploads/2025/07/institutional-digital-asset-derivatives-trade-execution-pipeline-optimizing-rfq-protocols-for-best-execution-and-capital-efficiency.jpg)

## Derivatives Portfolio

Meaning ▴ A Derivatives Portfolio in the crypto domain represents a collection of financial instruments whose value is derived from underlying digital assets, such as cryptocurrencies, indices, or tokenized commodities. </a><a href="https://prime.greeks.live/area/futures-and-options/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite" class="glossary-item-box">
![Abstract geometric representation of an institutional RFQ protocol for digital asset derivatives. Two distinct segments symbolize cross-market liquidity pools and order book dynamics](https://options.greeks.live/wp-content/uploads/2025/07/institutional-digital-asset-derivatives-rfq-execution-protocol-2.jpg)

## Futures and Options

Meaning ▴ Futures and Options are derivative financial instruments whose value is derived from an underlying asset, specifically cryptocurrencies such as Bitcoin or Ethereum. </a><a href="https://prime.greeks.live/area/options-clearing-corporation/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite" class="glossary-item-box">
![Two high-gloss, white cylindrical execution channels with dark, circular apertures and secure bolted flanges, representing robust institutional-grade infrastructure for digital asset derivatives. These conduits facilitate precise RFQ protocols, ensuring optimal liquidity aggregation and high-fidelity execution within a proprietary Prime RFQ environment](https://options.greeks.live/wp-content/uploads/2025/08/institutional-grade-execution-channels-enabling-private-quotation-and-optimal-liquidity-aggregation-for-high-fidelity-digital-asset-derivatives-rfq-protocols-on-prime-os.jpg)

## Options Clearing Corporation

Meaning ▴ The Options Clearing Corporation (OCC) is a central counterparty (CCP) responsible for guaranteeing the performance of options contracts, thereby mitigating counterparty risk for market participants. </a><a href="https://prime.greeks.live/area/margin-calculation/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite" class="glossary-item-box">
![Four sleek, rounded, modular components stack, symbolizing a multi-layered institutional digital asset derivatives trading system. Each unit represents a critical Prime RFQ layer, facilitating high-fidelity execution, aggregated inquiry, and sophisticated market microstructure for optimal price discovery via RFQ protocols](https://options.greeks.live/wp-content/uploads/2025/07/modular-institutional-crypto-derivatives-trading-system-components.jpg)

## Margin Calculation

Meaning ▴ Margin Calculation refers to the complex process of determining the collateral required to open and maintain leveraged positions in crypto derivatives markets, such as futures or options. </a><a href="https://prime.greeks.live/area/capital-efficiency/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite" class="glossary-item-box">
![A central RFQ aggregation engine radiates segments, symbolizing distinct liquidity pools and market makers. This depicts multi-dealer RFQ protocol orchestration for high-fidelity price discovery in digital asset derivatives, highlighting diverse counterparty risk profiles and algorithmic pricing grids](https://options.greeks.live/wp-content/uploads/2025/07/centralized-digital-asset-rfq-orchestration-for-multi-venue-liquidity-aggregation-and-high-fidelity-execution-across-diverse-counterparties.jpg)

## Capital Efficiency

Meaning ▴ Capital efficiency, in the context of crypto investing and institutional options trading, refers to the optimization of financial resources to maximize returns or achieve desired trading outcomes with the minimum amount of capital deployed. </a><a href="https://prime.greeks.live/area/equity-options/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite" class="glossary-item-box">
![The image features layered structural elements, representing diverse liquidity pools and market segments within a Principal's operational framework. A sharp, reflective plane intersects, symbolizing high-fidelity execution and price discovery via private quotation protocols for institutional digital asset derivatives, emphasizing atomic settlement nodes](https://options.greeks.live/wp-content/uploads/2025/07/systemic-interplay-for-institutional-digital-asset-derivatives-execution-via-advanced-rfq-protocols.jpg)

## Equity Options

Meaning ▴ Equity options are financial derivative contracts that grant the holder the right, but not the obligation, to buy or sell an underlying equity asset at a specified price before or on a specific date. </a><a href="https://prime.greeks.live/area/portfolio-composition/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite" class="glossary-item-box">
![A textured spherical digital asset, resembling a lunar body with a central glowing aperture, is bisected by two intersecting, planar liquidity streams. This depicts institutional RFQ protocol, optimizing block trade execution, price discovery, and multi-leg options strategies with high-fidelity execution within a Prime RFQ](https://options.greeks.live/wp-content/uploads/2025/07/institutional-digital-asset-derivatives-optimized-rfq-execution-protocol-dynamic-liquidity-management.jpg)

## Portfolio Composition

Meaning ▴ Portfolio composition, in the domain of crypto investing, refers to the specific blend and weighting of various digital assets held within an investment portfolio. </a><a href="https://prime.greeks.live/area/value-at-risk/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite" class="glossary-item-box">
![A multi-segmented sphere symbolizes institutional digital asset derivatives. One quadrant shows a dynamic implied volatility surface](https://options.greeks.live/wp-content/uploads/2025/07/institutional-digital-asset-derivatives-rfq-protocol-liquidity-management.jpg)

## Value-At-Risk

Meaning ▴ Value-at-Risk (VaR), within the context of crypto investing and institutional risk management, is a statistical metric quantifying the maximum potential financial loss that a portfolio could incur over a specified time horizon with a given confidence level. </a><a href="https://prime.greeks.live/area/market-scenarios/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite" class="glossary-item-box">
![A proprietary Prime RFQ platform featuring extending blue/teal components, representing a multi-leg options strategy or complex RFQ spread. The labeled band 'F331 46 1' denotes a specific strike price or option series within an aggregated inquiry for high-fidelity execution, showcasing granular market microstructure data points](https://options.greeks.live/wp-content/uploads/2025/07/institutional-digital-asset-derivatives-rfq-execution-protocol-1.jpg)

## Market Scenarios

Meaning ▴ Market Scenarios, in the realm of crypto investing, represent hypothetical future conditions or states of the digital asset market, characterized by specific combinations of price movements, volatility levels, and macroeconomic factors. </a><a href="https://prime.greeks.live/area/risk-arrays/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite" class="glossary-item-box">
![Two distinct ovular components, beige and teal, slightly separated, reveal intricate internal gears. This visualizes an Institutional Digital Asset Derivatives engine, emphasizing automated RFQ execution, complex market microstructure, and high-fidelity execution within a Principal's Prime RFQ for optimal price discovery and block trade capital efficiency](https://options.greeks.live/wp-content/uploads/2025/07/institutional-digital-asset-derivatives-automated-rfq-execution-microstructure-revealing-principal-prime-os-intelligence-layer-for-high-fidelity-execution-and-capital-efficiency.jpg)

## Risk Arrays

Meaning ▴ Risk Arrays are multi-dimensional data structures or matrices used in financial systems to systematically quantify and represent the potential impact of various risk factors on a portfolio or individual financial positions. </a><a href="https://prime.greeks.live/area/margin-requirement/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite" class="glossary-item-box">
![Translucent circular elements represent distinct institutional liquidity pools and digital asset derivatives. A central arm signifies the Prime RFQ facilitating RFQ-driven price discovery, enabling high-fidelity execution via algorithmic trading, optimizing capital efficiency within complex market microstructure](https://options.greeks.live/wp-content/uploads/2025/07/institutional-digital-asset-derivatives-rfq-protocol-best-execution-framework.jpg)

## Margin Requirement

Meaning ▴ Margin Requirement in crypto trading dictates the minimum amount of collateral, typically denominated in a cryptocurrency or fiat currency, that a trader must deposit and continuously maintain with an exchange or broker to support leveraged positions. </a><a href="https://prime.greeks.live/area/basis-risk/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite" class="glossary-item-box">
![A stylized abstract radial design depicts a central RFQ engine processing diverse digital asset derivatives flows. Distinct halves illustrate nuanced market microstructure, optimizing multi-leg spreads and high-fidelity execution, visualizing a Principal's Prime RFQ managing aggregated inquiry and latent liquidity](https://options.greeks.live/wp-content/uploads/2025/07/principal-rfq-execution-engine-optimizing-digital-asset-derivatives-market-microstructure-for-institutional-liquidity-aggregation.jpg)

## Basis Risk

Meaning ▴ Basis risk in crypto markets denotes the potential for loss arising from an imperfect correlation between the price of an asset being hedged and the price of the hedging instrument, or between different derivatives contracts on the same underlying asset. </a><a href="https://prime.greeks.live/area/index-futures/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite" class="glossary-item-box">
![An exploded view reveals the precision engineering of an institutional digital asset derivatives trading platform, showcasing layered components for high-fidelity execution and RFQ protocol management. This architecture facilitates aggregated liquidity, optimal price discovery, and robust portfolio margin calculations, minimizing slippage and counterparty risk](https://options.greeks.live/wp-content/uploads/2025/07/digital-asset-derivatives-rfq-execution-engine-microstructure.jpg)

## Index Futures

Meaning ▴ Index Futures are standardized, exchange-traded derivative contracts obligating parties to transact a financial index at a predetermined future date and price. </a><a href="https://prime.greeks.live/area/class-group/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite" class="glossary-item-box">
![Institutional-grade infrastructure supports a translucent circular interface, displaying real-time market microstructure for digital asset derivatives price discovery. Geometric forms symbolize precise RFQ protocol execution, enabling high-fidelity multi-leg spread trading, optimizing capital efficiency and mitigating systemic risk](https://options.greeks.live/wp-content/uploads/2025/07/institutional-digital-asset-derivatives-request-for-quote-protocol-high-fidelity-execution-market-microstructure-intelligence-layer.jpg)

## Class Group

Meaning ▴ A Class Group, in a financial context, refers to a categorization of assets or liabilities that share similar characteristics, risk profiles, or regulatory treatment. </a><a href="https://prime.greeks.live/area/risk-offsets/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite" class="glossary-item-box">
![Two distinct components, beige and green, are securely joined by a polished blue metallic element. This embodies a high-fidelity RFQ protocol for institutional digital asset derivatives, ensuring atomic settlement and optimal liquidity](https://options.greeks.live/wp-content/uploads/2025/07/institutional-rfq-protocol-for-digital-asset-derivatives-high-fidelity-link.jpg)

## Risk Offsets

Meaning ▴ Risk offsets refer to the reduction in overall portfolio risk achieved by holding multiple positions whose individual risks are negatively correlated or move in opposing directions. </a><a href="https://prime.greeks.live/area/e-mini-futures/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite" class="glossary-item-box">
![Smooth, glossy, multi-colored discs stack irregularly, topped by a dome. This embodies institutional digital asset derivatives market microstructure, with RFQ protocols facilitating aggregated inquiry for multi-leg spread execution](https://options.greeks.live/wp-content/uploads/2025/07/institutional-digital-asset-derivatives-rfq-protocol-engine-for-prime-os-best-execution.jpg)

## E-Mini Futures

Meaning ▴ E-Mini Futures are electronically traded futures contracts that represent a fraction of the value of their standard counterparts, typically linked to major stock market indices. </a><a href="https://prime.greeks.live/area/inter-commodity-spread/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite" class="glossary-item-box">
![The image depicts two distinct liquidity pools or market segments, intersected by algorithmic trading pathways. A central dark sphere represents price discovery and implied volatility within the market microstructure](https://options.greeks.live/wp-content/uploads/2025/07/digital-asset-derivatives-rfq-multi-leg-spread-execution-microstructure.jpg)

## Inter-Commodity Spread

Meaning ▴ An Inter-Commodity Spread in crypto investing involves simultaneously buying and selling different but related crypto assets or derivatives that typically exhibit a historical price relationship. </a><a href="https://prime.greeks.live/area/combined-commodity/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite" class="glossary-item-box">
![A futuristic circular financial instrument with segmented teal and grey zones, centered by a precision indicator, symbolizes an advanced Crypto Derivatives OS. This system facilitates institutional-grade RFQ protocols for block trades, enabling granular price discovery and optimal multi-leg spread execution across diverse liquidity pools](https://options.greeks.live/wp-content/uploads/2025/07/institutional-digital-asset-derivatives-rfq-execution-microstructure-platform.jpg)

## Combined Commodity

Meaning ▴ A combined commodity, within the crypto investment space, refers to a financial instrument or digital asset derivative whose value is derived from or references two or more distinct underlying commodities or assets. </a><a href="https://prime.greeks.live/area/spy-options/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite" class="glossary-item-box">
![An abstract composition featuring two overlapping digital asset liquidity pools, intersected by angular structures representing multi-leg RFQ protocols. This visualizes dynamic price discovery, high-fidelity execution, and aggregated liquidity within institutional-grade crypto derivatives OS, optimizing capital efficiency and mitigating counterparty risk](https://options.greeks.live/wp-content/uploads/2025/07/institutional-digital-asset-derivatives-rfq-protocols-optimizing-aggregated-liquidity-and-multi-leg-execution-via-advanced-market-microstructure.jpg)

## Spy Options

Meaning ▴ SPY Options are financial derivative contracts based on the SPDR S&P 500 ETF Trust (SPY), an exchange-traded fund designed to replicate the performance of the S&P 500 index. </a><a href="https://prime.greeks.live/area/underlying-asset/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite" class="glossary-item-box">
![Sleek, engineered components depict an institutional-grade Execution Management System. The prominent dark structure represents high-fidelity execution of digital asset derivatives](https://options.greeks.live/wp-content/uploads/2025/07/institutional-digital-asset-derivatives-rfq-protocol-for-optimized-price-discovery-high-fidelity-execution-and-market-microstructure.jpg)

## Underlying Asset

Meaning ▴ An Underlying Asset is the specific financial instrument, commodity, or digital asset upon which the value of a derivative contract, such as an option or future, is based. </a><a href="https://prime.greeks.live/area/span-methodology/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite" class="glossary-item-box">
![A precise stack of multi-layered circular components visually representing a sophisticated Principal Digital Asset RFQ framework. Each distinct layer signifies a critical component within market microstructure for high-fidelity execution of institutional digital asset derivatives, embodying liquidity aggregation across dark pools, enabling private quotation and atomic settlement](https://options.greeks.live/wp-content/uploads/2025/07/principal-digital-asset-rfq-protocol-layers-for-high-fidelity-execution.jpg)

## Span Methodology

Meaning ▴ SPAN Methodology, short for Standard Portfolio Analysis of Risk, is a widely adopted portfolio risk management system developed by the CME Group for calculating margin requirements for derivatives. </a><a href="https://prime.greeks.live/area/futures-contracts/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite" class="glossary-item-box">
![A Principal's RFQ engine core unit, featuring distinct algorithmic matching probes for high-fidelity execution and liquidity aggregation. This price discovery mechanism leverages private quotation pathways, optimizing crypto derivatives OS operations for atomic settlement within its systemic architecture](https://options.greeks.live/wp-content/uploads/2025/08/principals-rfq-engine-driving-optimal-digital-asset-derivatives.jpg)

## Futures Contracts

Meaning ▴ Futures Contracts are standardized legal agreements to buy or sell an underlying asset at a specified price on a future date. </a><a href="https://prime.greeks.live/area/wti-crude-oil/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite" class="glossary-item-box">
![Abstract spheres and a translucent flow visualize institutional digital asset derivatives market microstructure. It depicts robust RFQ protocol execution, high-fidelity data flow, and seamless liquidity aggregation](https://options.greeks.live/wp-content/uploads/2025/07/precision-market-microstructure-for-institutional-digital-asset-derivatives-leveraging-rfq-protocols-and-atomic-settlement-across-prime-os.jpg)

## Wti Crude Oil

Meaning ▴ WTI Crude Oil, or West Texas Intermediate, is a specific grade of light sweet crude oil primarily produced in the United States, serving as a major benchmark for oil prices globally. </a><a href="https://prime.greeks.live/area/scan-risk/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite" class="glossary-item-box">
![Stacked, glossy modular components depict an institutional-grade Digital Asset Derivatives platform. Layers signify RFQ protocol orchestration, high-fidelity execution, and liquidity aggregation](https://options.greeks.live/wp-content/uploads/2025/07/layered-digital-asset-derivatives-rfq-protocol-stack-for-prime-brokerage.jpg)

## Scan Risk

Meaning ▴ Scan Risk, in financial and especially derivatives markets, refers to the potential for significant, unhedged losses that can occur between scheduled risk assessments or margin recalculations. </a><a href="https://prime.greeks.live/area/intra-commodity-spread-charge/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite" class="glossary-item-box">
![A metallic, reflective disc, symbolizing a digital asset derivative or tokenized contract, rests on an intricate Principal's operational framework. This visualizes the market microstructure for high-fidelity execution of institutional digital assets, emphasizing RFQ protocol precision, atomic settlement, and capital efficiency](https://options.greeks.live/wp-content/uploads/2025/08/high-fidelity-digital-asset-derivatives-rfq-protocol-system-infrastructure.jpg)

## Intra-Commodity Spread Charge

Meaning ▴ An 'Intra-Commodity Spread Charge' typically refers to a fee applied to positions involving different delivery months of the same commodity futures contract, reflecting the costs and risks associated with holding such a spread. </a><a href="https://prime.greeks.live/area/inter-commodity-spread-credit/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite" class="glossary-item-box">
![Two semi-transparent, curved elements, one blueish, one greenish, are centrally connected, symbolizing dynamic institutional RFQ protocols. This configuration suggests aggregated liquidity pools and multi-leg spread constructions](https://options.greeks.live/wp-content/uploads/2025/07/institutional-digital-asset-derivatives-rfq-price-discovery-engine.jpg)

## Inter-Commodity Spread Credit

Meaning ▴ Inter-Commodity Spread Credit, within crypto derivatives, denotes a reduction in margin requirements offered by a clearinghouse or exchange when a trader holds economically offsetting positions in two distinct but correlated digital asset derivative contracts. </a><a href="https://prime.greeks.live/area/tims-methodology/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite" class="glossary-item-box">
![Abstract geometric forms illustrate an Execution Management System EMS. Two distinct liquidity pools, representing Bitcoin Options and Ethereum Futures, facilitate RFQ protocols](https://options.greeks.live/wp-content/uploads/2025/07/institutional-digital-asset-derivatives-rfq-protocols-high-fidelity-execution-6.jpg)

## Tims Methodology

Meaning ▴ The TIMS Methodology (Transaction Information Management System) refers to a structured approach for managing the complete lifecycle of transaction data within an organization, from capture and processing to storage and reporting. </a>

**Tags:** [Intra-Commodity Spread Charge](https://options.greeks.live/area/intra-commodity-spread-charge/), [Futures and Options](https://options.greeks.live/area/futures-and-options/), [WTI Crude Oil](https://options.greeks.live/area/wti-crude-oil/), [Risk Offsets](https://options.greeks.live/area/risk-offsets/), [Inter-Commodity Spread](https://options.greeks.live/area/inter-commodity-spread/), [Risk Arrays](https://options.greeks.live/area/risk-arrays/)	

## Discover More

- 
### [What Are the Primary Differences between Hedging with the Underlying Asset versus a Correlated Future?](https://options.greeks.live/question/what-are-the-primary-differences-between-hedging-with-the-underlying-asset-versus-a-correlated-future/)
![A dark, metallic, circular mechanism with central spindle and concentric rings embodies a Prime RFQ for Atomic Settlement. A precise black bar, symbolizing High-Fidelity Execution via FIX Protocol, traverses the surface, highlighting Market Microstructure for Digital Asset Derivatives and RFQ inquiries, enabling Capital Efficiency.](https://options.greeks.live/wp-content/uploads/2025/07/institutional-digital-asset-derivatives-rfq-execution-engine-microstructure-1.jpg)

A direct hedge offers perfect risk mirroring; a futures hedge provides capital efficiency at the cost of basis risk.

- 
### [How Does a Portfolio Margin System Alter a Firm’s Capital Management Strategy?](https://options.greeks.live/question/how-does-a-portfolio-margin-system-alter-a-firms-capital-management-strategy/)
![A sleek, multi-layered digital asset derivatives platform highlights a teal sphere, symbolizing a core liquidity pool or atomic settlement node. The perforated white interface represents an RFQ protocol's aggregated inquiry points for multi-leg spread execution, reflecting precise market microstructure.](https://options.greeks.live/wp-content/uploads/2025/07/institutional-digital-asset-derivatives-rfq-core-execution-system.jpg)

A portfolio margin system re-architects capital strategy by replacing static rules with dynamic, risk-based calculations for superior efficiency.

- 
### [How Does Portfolio Margining Quantitatively Reduce Collateral Requirements for a Collar?](https://options.greeks.live/question/how-does-portfolio-margining-quantitatively-reduce-collateral-requirements-for-a-collar/)
![A precision optical system with a reflective lens embodies the Prime RFQ intelligence layer. Gray and green planes represent divergent RFQ protocols or multi-leg spread strategies for institutional digital asset derivatives, enabling high-fidelity execution and optimal price discovery within complex market microstructure.](https://options.greeks.live/wp-content/uploads/2025/07/prime-os-intelligent-core-driving-digital-asset-derivatives-rfq-protocols-high-fidelity-execution-across-diverse-liquidity-pools-for-optimal-price-discovery.jpg)

Portfolio margining models a collar's net risk across market shocks, demanding collateral only for the true maximum potential loss.

- 
### [What Are the Specific FINRA Eligibility Requirements for a Portfolio Margin Account?](https://options.greeks.live/question/what-are-the-specific-finra-eligibility-requirements-for-a-portfolio-margin-account/)
![A transparent geometric structure symbolizes institutional digital asset derivatives market microstructure. Its converging facets represent diverse liquidity pools and precise price discovery via an RFQ protocol, enabling high-fidelity execution and atomic settlement through a Prime RFQ.](https://options.greeks.live/wp-content/uploads/2025/07/institutional-digital-asset-derivatives-rfq-protocol-for-optimized-liquidity-aggregation-and-high-fidelity-execution.jpg)

FINRA's portfolio margin requirements mandate high equity minimums and broker approval for a risk-based, capital-efficient framework.

- 
### [The Trader’s Edge Is Understanding Who Holds Your Collateral](https://options.greeks.live/guide/the-traders-edge-is-understanding-who-holds-your-collateral/)
![A sleek, multi-component device with a prominent lens, embodying a sophisticated RFQ workflow engine. Its modular design signifies integrated liquidity pools and dynamic price discovery for institutional digital asset derivatives. This system facilitates high-fidelity execution, real-time risk aggregation, and optimized capital efficiency.](https://options.greeks.live/wp-content/uploads/2025/07/institutional-digital-asset-derivatives-rfq-engine-microstructure-2.jpg)

Your true market edge is defined by the structural integrity of the entity holding your capital.

- 
### [How Does Portfolio Margining Differ from SPAN in Crypto Options?](https://options.greeks.live/question/how-does-portfolio-margining-differ-from-span-in-crypto-options/)
![A dark, textured module with a glossy top and silver button, featuring active RFQ protocol status indicators. This represents a Principal's operational framework for high-fidelity execution of institutional digital asset derivatives, optimizing atomic settlement and capital efficiency within market microstructure.](https://options.greeks.live/wp-content/uploads/2025/07/institutional-digital-asset-derivatives-rfq-protocol-execution-interface-1.jpg)

Portfolio margining optimizes capital by assessing net portfolio risk, while SPAN standardizes risk assessment via scenario analysis.

- 
### [What Are the Capital Efficiency Benefits of Portfolio Margining for Complex Crypto Options Strategies?](https://options.greeks.live/question/what-are-the-capital-efficiency-benefits-of-portfolio-margining-for-complex-crypto-options-strategies/)
![Abstract geometric forms converge around a central RFQ protocol engine, symbolizing institutional digital asset derivatives trading. Transparent elements represent real-time market data and algorithmic execution paths, while solid panels denote principal liquidity and robust counterparty relationships. This illustrates high-fidelity execution and precise price discovery within complex market microstructure.](https://options.greeks.live/wp-content/uploads/2025/07/institutional-digital-asset-derivatives-rfq-protocol-core-for-high-fidelity-execution.jpg)

Portfolio margining for crypto options optimizes capital deployment by aggregating net risk, liberating capital for enhanced strategic flexibility and superior returns.

- 
### [How Does Portfolio Margining for Client Accounts Vary between LCH and CME?](https://options.greeks.live/question/how-does-portfolio-margining-for-client-accounts-vary-between-lch-and-cme/)
![A conceptual image illustrates a sophisticated RFQ protocol engine, depicting the market microstructure of institutional digital asset derivatives. Two semi-spheres, one light grey and one teal, represent distinct liquidity pools or counterparties within a Prime RFQ, connected by a complex execution management system for high-fidelity execution and atomic settlement of Bitcoin options or Ethereum futures.](https://options.greeks.live/wp-content/uploads/2025/07/institutional-digital-asset-derivatives-rfq-market-microstructure-2.jpg)

LCH and CME offer distinct portfolio margining architectures, one for holistic OTC risk and one for diversified futures.

- 
### [How Does Multilateral Netting Reduce Initial Margin Requirements in Practice?](https://options.greeks.live/question/how-does-multilateral-netting-reduce-initial-margin-requirements-in-practice/)
![Polished metallic disc on an angled spindle represents a Principal's operational framework. This engineered system ensures high-fidelity execution and optimal price discovery for institutional digital asset derivatives. Its reflective surface mirrors real-time market microstructure, facilitating efficient RFQ protocols and aggregated inquiry liquidity.](https://options.greeks.live/wp-content/uploads/2025/08/high-fidelity-digital-asset-derivatives-rfq-execution-platform.jpg)

Multilateral netting centralizes and offsets portfolio exposures, calculating margin on a much smaller net risk base for superior capital efficiency.

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---

**Original URL:** https://options.greeks.live/question/what-are-the-capital-efficiency-implications-of-using-span-versus-tims-for-a-mixed-derivatives-portfolio/
