ResearchBenchmarksOption Hedging on SPY K/F=1.03 2020Q1Option Hedging on SPY K/F=1.03 2020Q1Follow6.187Expected Shortfall (5%)QLBS6.132966.497736.86257.22727Feb 1, 2026Evaluation resultsMethodMethodLinksExpected Shortfall (5%)Expected Shortfall (10%)Shortfall ProbabilityQLBStau=14, n_days=27tau=14, n_days=272026.026.1875.154—QLBSMaturity (τ)=28d, Equa...Maturity (τ)=28d, Equal-day weighting=true, n_days=232026.027.5387.271—SVtau=14, n_days=27tau=14, n_days=272026.02——70SVMaturity (τ)=28d, Equa...Maturity (τ)=28d, Equal-day weighting=true, n_days=232026.02——96