The document discusses the complexities and risks associated with offsetting option positions using Treasury securities. It highlights the challenges in calculating the necessary principal amount of Treasury securities to offset risk, the fluctuation of this amount due to changes in yields and maturity periods, and the potential discrepancies in yields from different dealers. Additionally, it addresses the risk of errors in reported yields and the implications for investors in yield-based debt options.
doj/DataSet10/EFTA01393139.pdf
{"document_type":"other","key_organizations":["OCC"]}