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PIB A5.6.2

(1) An Authorised Firm may use the Simplified Approach set out in PIB Rule A5.6.3 to calculate its Option Risk Capital Requirement only if:
(a) it does not write options; or
(b) where it writes options, all written options are hedged by perfectly matched long positions in exactly the same options.
(2) An Authorised Firm which writes options must, unless (1) applies, use the advanced approach known as the Delta-plus method set out in PIB Rule A5.6.5 to calculate its Option Risk Capital Requirement.
Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]