Guidance

The Delta-plus method uses the sensitivity parameters or "Greek letters" associated with Options to measure their Option Risk Capital Requirement. Under this method, the Delta-equivalent position of each Option becomes part of the standardised methodology set out in Sections 5.4 to 5.7 with the Delta-equivalent amount subject to the applicable General Market Risk requirements. Separate capital charges are then applied to the Gamma and Vega risks of the Option positions.