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 for errors in reported yield values. It also notes the lack of remedies for trades based on erroneous yield values.
documents/vol00010-efta01353466-pdf.pdf
{"document_type":"other","key_organizations":["OCC"],"reference_numbers":["EFTA01353466"]}