PIB A4.11.23

(1) An Authorised Firm must treat the value of:
(a) a call Option as equal to market value; and
(b) a put Option as equal to the strike price minus market value.
(2) An Authorised Firm must aggregate the resulting option Exposures to each underlying counterparty and if there is a negative net Exposure after aggregation of all option Exposures, the option Exposure must be set to nil.
Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]
[Amended] DFSA RMI293/2021 (Made 24th February 2021). [VER38/04-21]