Option Hedging on SPY ATM 2020Q1
91Shortfall ProbabilityRLOP
Evaluation Results
| Method | Links | |||
|---|---|---|---|---|
| RLOPMaturity (τ)=28d, Equal-day weighting=true, n_days=232026.02 | 91 | — | — | |
| JDtau=14, n_days=272026.02 | 93 | — | — | |
| SVtau=14, n_days=272026.02 | 93 | — | — | |
| QLBStau=14, n_days=272026.02 | 93 | — | — | |
| RLOPtau=14, n_days=272026.02 | 93 | — | — | |
| BStau=14, n_days=272026.02 | — | 8.757 | 8.21 | |
| BSMaturity (τ)=28d, Equal-day weighting=true, n_days=232026.02 | — | 8.787 | 8.395 |