Exposure Margin

SPAN simulates losses across a grid of scenarios, but a real gap can exceed every scenario tested, so the exposure margin exists as a flat additional buffer against that tail. It is charged as a percentage of contract value rather than being portfolio-netted, which is why a hedged spread still requires some margin even when SPAN's own number approaches zero. Together the two make up the initial margin that must be collected upfront. Exchanges raise it during periods of stress, which is why margin requirements can jump across the market without any individual position changing.