PRU A6.6.2

(1) An Authorised Person may use the Simplified Approach set out in Rule A6.6.3 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 Person which writes Options must, unless (1) applies, use the advanced approach known as the Delta-plus method set out in Rule A6.6.5 to calculate its Option Risk Capital Requirement.