Arxo Findings Register · Arxo Law

ARXO-2026-0371 · Reported

Basel Framework: CRE52.40 delta, T_i = 0

The supervisory option delta divides by the square root of the time to exercise and the text gives no floor or rule when that time is zero.

Consequence

Position: Bought call, P=105, K=100, sigma=50%, exercise today T=0 Reading a: delta=Phi(+inf)=1 by limit Reading b: undefined, or delta=0 if the trade is deemed expired Difference: effective notional d*MF*1 vs 0, e.g. 10m x 0.2 = 2m

Proposed correction

Clarify or correct the cited passage so that the rule and its references give one result for the stated case.

Issued by
Basel Committee on Banking Supervision
Act
Basel Framework CRE52 (in force 2023-01-01, published 2020-06-05)
Place
CRE52.40 delta, T_i = 0
Record
Discrepancy
Class
Text of the act
Where it arose
The text of the act
Arxo's conclusion
Confirmed
Official text
Unchanged at last check
Last checked
2026-10-31

Evidence

Contradiction within the text. Quotations are verbatim from the official material; translations are ours and marked.

T_{i} : Latest contractual exercise date of the option
Normative text · Basel Framework CRE52 (in force 2023-01-01, published 2020-06-05) · CRE52.40 delta, T_i = 0 · Published 2020-06-05 · retrieved 2026-10-31 · SHA-256 5b52b72681dbea4d0ded7a317ea06ca15241c115478efa5dba0fc38f6df9d99d · copy
For options in all asset classes, T_{i} is the time period (starting today) until the latest contractual exercise date as referenced by the contract.
Normative text · Basel Framework CRE52 (in force 2023-01-01, published 2020-06-05) · CRE52.40 delta, T_i = 0 · Published 2020-06-05 · retrieved 2026-10-31 · SHA-256 5b52b72681dbea4d0ded7a317ea06ca15241c115478efa5dba0fc38f6df9d99d · copy

How to check it without Arxo's tools

  1. Open Basel Framework CRE52 (in force 2023-01-01, published 2020-06-05) and find CRE52.40 delta, T_i = 0. Compare the text with the quotation above. A copy is kept in this register: 5b52b72681dbea4d-CRE52@2023-01-01~2020-06-05.txt (SHA-256 5b52b72681dbea4d0ded7a317ea06ca15241c115478efa5dba0fc38f6df9d99d, copy of the official file).
  2. The finding holds if the quoted passages read as shown and the comparison gives the result stated at the top of this page. If it does not, write to us with the record ID.

How this finding was made

AI models read the texts, built the examples and reviewed the findings.

Responsible institutions

Reported to

DateInstitutionChannelReference
2026-10-31Basel Committee on Banking Supervisione-mailhttps://mail.google.com/mail/u/0/#sent/KtbxLthRTjRNkqRtWGvxMWmXhVdckfWkGV

Responses

No response recorded.

History

  1. 2026-10-31Confirmed by Arxo
  2. 2026-10-31Entered in the register
  3. 2026-10-31Reported to Basel Committee on Banking Supervision (e-mail)

Cite this record

Arxo Law, Arxo Findings Register, ARXO-2026-0371, https://arxo.io/findings/ARXO-2026-0371/ (status as of 2026-10-31). Data: ARXO-2026-0371.json.