PRU A6.6.6

An Authorised Person using the Delta-plus method must calculate its Market Risk Capital Requirement for Options by:

(a) calculating the Delta-weighted position of each Option in accordance with Rule A6.6.7 and adding these Delta-weighted positions to the net positions in the relevant risk category referred in Sections A6.2 to A6.6 for the purpose of calculating the Specific Risk and General Market Risk Capital Requirements;
(b) calculating the Capital Requirement for Gamma risk of its Option positions (including hedge positions) based on the Options pricing model of the an Authorised Person, in accordance with Rules A6.6.8 to A6.6.9;
(c) calculating the Capital Requirement for Vega risk of its Option positions (including hedge positions) based on the Options pricing model of an Authorised Person, in accordance with Rule A6.6.10; and
(d) summing the Capital Requirements determined in (b) and (c).