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PIB A5.6.9

An Authorised Firm must calculate its Capital Requirement for Gamma risk by:

(a) calculating the net Gamma impact in respect of each underlying financial instrument or commodity by aggregating the individual Gamma impacts for each option position in respect of that underlying financial instrument or commodity (which may be either positive or negative); and
(b) aggregating the absolute value of the net Gamma impacts that are negative.
Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]