ResearchBenchmarksOption Hedging on SPY K/F=1.03 (τ = 56d) 2020Q1Follow8.002ES (5%)BS7.60197.801958.0028.20205Feb 1, 2026Evaluation ResultsMethodMethodLinksES (5%)ES (10%)Shortfall ProbabilityBSτ=56, ndays=16τ=56, ndays=162026.028.0027.478—SVτ=56, ndays=16τ=56, ndays=162026.02——75