- (1) In accordance with SSR 2.8.2R, a person must account for any position in a financial instrument on a delta-adjusted basis when calculating their net short position.
- (2) To calculate a net short position including equity or cash investments and derivatives, a person must calculate the individual delta-adjusted position of every derivative that is held in the portfolio, adding or subtracting all cash positions as appropriate.
- (3) For the purpose of (1):
- (a) any cash positions must have a delta of 1;
- (b) to calculate the delta of a derivative, the person must take into account the current implied volatility of the derivative and the closing price or last price of the underlying instrument; and
- (c) the person must calculate net short positions by netting long and short delta-adjusted positions in a given company.
- (4) A person must ensure that the same methods are used for calculating both long positions and short positions in relation to the same shares.
- (5) A nominal cash short position must not be offset by an equivalent nominal long position taken in derivatives.
- (6) A delta-adjusted long position in derivatives may not compensate an identical nominal short position taken in other financial instruments due to the delta adjustment.
- (7) A person that enters into derivatives contracts giving rise to net short positions that must be notified in accordance with SSR 2.3.1R must calculate changes to a net short position in their portfolio arising from changes in the delta.
You are viewing SSR 2.18 Requirements for calculating net short positions: delta-adjusted methodology for all instruments as of . SSR 2.18 Requirements for calculating net short positions: delta-adjusted methodology for all instruments was last updated on 13/07/2026.
SSR 2.18 Requirements for calculating net short positions: delta-adjusted methodology for all instruments
13/07/2026R