All NFX products are cleared by The Options Clearing Corporation (OCC). OCC operates under the jurisdiction of both the SEC and the CFTC. As a registered clearing agency under SEC jurisdiction, OCC clears transactions for exchange-listed options, security futures and OTC options. As a registered derivatives clearing organization under CFTC jurisdiction, OCC offers clearing and settlement services for transactions in futures and options on futures. By acting as guarantor, OCC ensures that the obligations of the contracts it clears are fulfilled.
Futures Participants interested in NFX membership must be OCC members or have a clearing relationship with an OCC member. For further information, contact OCC Member Services at 1-800-621-6072 or firstname.lastname@example.org.
Options and Futures Risk Arrays
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. The calculation parameters in the files include outright scan ranges and spread rates which are used to calculate a portfolio's performance bond/margin. http://www.optionsclearing.com/risk-management/ofra/
Using PC-SPAN to calculate hypothetical Customer margins for NFX
PC-SPAN is a free tool provided by the CME to calculate hypothetical Customer margins.
View details about how to download and use PC-SPAN:
NOTE: The Clearing Organization Master file for PC-Span must be updated to include NFX.
Please follow the instructions found here: