Option reporting requirements: weekly standardized transaction, positions, delta sensitivity and strike concentration reports for FX INR options.
Institutes must submit standardized weekly reports: an Option Transaction Report detailing trade date, counterparty, notional, option call/put, strike, maturity, premium and purpose; an Option Positions Report by currency pair showing notional outstanding and portfolio delta, gamma and vega, and a Total Net Open Options Position in INR calculated per the referenced DIR methodology; a Change in Portfolio Delta Report measuring delta change for a 0.25% spot move for each pair; and a Strike Concentration Report with cumulative positions across maturity buckets within a specified paise range, amounts in USD million and long/short sign convention. Reports are prepared as of Friday and emailed by the following Monday.
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