The so-called risk value of cross-month spread position refers to the risk that the futures contracts with different maturity months in the same asset portfolio will change relative to the spot basis. When considering futures price risk, SPAN assumes that all futures contract prices and spot prices change in the same direction, but there is actually the risk of basis change between futures and spot in different maturity months, so it is necessary to add the risk value of cross-month spread. Therefore, for futures contracts with different maturities or futures option contracts with different maturities in the portfolio, when the contract positions are reversed, these contracts will form a cross-month spread pair, and the cross-month spread risk is calculated at the set value. Delta is used to match the price difference between assets, which simplifies the analysis of price difference deduction between assets and increases the accuracy of calculation. Any portfolio is based on

According to the classification standard of SPAN, there may be multiple asset portfolios, and the same asset portfolio may also contain multiple options with the same underlying assets but different exercise prices or futures with different maturity dates. Because there are many possible combinations, and the change between the option price and the underlying stock price is not linear, if SPAN does not introduce the concept of Delta, it will double the complexity of discount calculation. Therefore, SPAN introduced the concept of Delta when calculating the deduction of price difference between assets, which greatly reduced the complexity of deduction rate calculation, simplified the overall analysis and increased the accuracy of calculation. Using composite Delta as contract Delta indirectly considers the Gamma risk that Delta may change. Because the change between the option price and the underlying asset price is not linear, when the price changes too much, the Delta is not enough to measure the influence of the underlying asset price change on the option price, and the Delta of the option will change with the change of the underlying asset price. Therefore, SPAN's adoption of composite Delta as the Delta of the contract is not only representative, but also considers the Gamma risk that the Delta may change.