ResearchBenchmarksOption Hedging on SPY ATM (τ = 56d) 2020Q1Follow9.963Exposure Shortfall (5%)BS9.464859.7139259.96310.212075Feb 1, 2026Evaluation ResultsMethodMethodLinksExposure Shortfall (5%)Exposure Shortfall (10%)Shortfall ProbabilityBSτ=56, ndays=16τ=56, ndays=162026.029.9639.9—SVτ=56, ndays=16τ=56, ndays=162026.02——0.81