PRU A6.6.10

An Authorised Person must calculate its Capital Requirement for Vega risk by:

(a) multiplying the sum of the Vegas for all Option positions in respect of the same underlying Financial Instrument or commodity, as defined in the Rule 5.6.8(c), by a proportional shift in volatility of ±25%; and
(b) aggregating the absolute value of the individual Capital Requirements which have been calculated for Vega risk.