The delta-normal approach is a widely used technique for measuring market risk in portfolios containing derivatives like FX options. It captures the first-order sensitivity (delta) of the portfolio to changes in underlying FX rates and assumes normally distributed returns. While it may not fully capture non-linear risks (e.g., gamma or vega), it is still a practical and appropriate method for daily reporting and risk monitoring of FX options.

B is incorrect. The duration-convexity approach is primarily used for fixed-income instruments to measure sensitivity to interest rate changes. It does not account for the unique features and non-linear risk exposures associated with options.

C is incorrect. Scenario analysis is useful for stress testing and exploring extreme market events, but it is not typically used as a primary risk measurement tool for daily reporting in options trading.

D is incorrect. Historical analysis (or historical simulation) uses past data to estimate risk but may not effectively capture the non-linear and forward-looking nature of option exposures, especially if the past data lacks sufficient volatility or relevant scenarios.