EP079 – Delta Position Limits

This proposal supports reporting under the delta-neutral hedging exemption for equity options. Clearing members must report positions whose delta-equivalent exposure exceeds regulatory limits, and OCC consolidates validated member submissions for distribution to exchanges and FINRA.

Rather than introducing a message, it extends the position-reporting data model. It adds a Delta Positions request type, Net Delta position quantity, a CRD party role, a field identifying whether the delta model is OCC-supplied or proprietary, and optional PriceDelta. These additions allow the report to identify the firm, model, underlying and calculated net-delta exposure in a consistent form.