Option Hedging on XOP ATM 2025Q2
39Shortfall ProbabilityRLOP
Evaluation results
| Method | Links | |||
|---|---|---|---|---|
| RLOPMaturity (τ)=28d, Equal-day weighting=true, n_days=572026.02 | 39 | — | — | |
| QLBStau=14, n_days=562026.02 | 52 | 5.096 | — | |
| SVtau=14, n_days=562026.02 | 52 | — | — | |
| BStau=14, n_days=562026.02 | — | — | 3.34 | |
| BSMaturity (τ)=28d, Equal-day weighting=true, n_days=572026.02 | — | — | 2.983 | |
| QLBSMaturity (τ)=28d, Equal-day weighting=true, n_days=572026.02 | — | 4.61 | — |