CTHRepealedLegislation
Financial Sector (Collection of Data) (reporting standard) determination No. 1 of 2012 - ARS 116.0 - Market Risk
Table 8: Options — Delta-plus methodTable 8: Options — Delta-plus method
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Table 8: Options – Delta-plus method
An ADI that has approval from APRA to use the delta-plus method must complete Table 8.
ADIs using this method must first calculate the delta-equivalent position of each option. The delta-equivalent position is calculated by multiplying the market value of the underlying position by the absolute value of the delta calculated on that position.