Final Q&As
Question ID: 2023_6904
Topic
Market risk
Subject matter
Determination of own funds requirements for gamma risk according to the ‘Delta plus approach’, for option positions in Exchange-traded funds (ETFs), when the reporting institutions apply the look-through method for the funds
How should the gamma impact be calculated for options positions on Exchange-traded funds (ETFs), when the look-through approach is applied to those funds and the components of the fund are from across several sectors?