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Option Hedging on SPY ATM 2020Q1
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91
Shortfall Probability
RLOP
90.92
91.46
92
92.54
Feb 1, 2026
Shortfall Probability
Exposure Shortfall (ES5%)
Exposure Shortfall (ES10%)
Updated 2mo ago
Evaluation Results
Method
Method
Links
Shortfall Probability
Exposure Shortfall (ES5%)
Exposure Shortfall (ES10%)
RLOP
Maturity (τ)=28d, Equa...
2026.02
91
-
-
JD
tau=14, n_days=27
2026.02
93
-
-
SV
tau=14, n_days=27
2026.02
93
-
-
QLBS
tau=14, n_days=27
2026.02
93
-
-
RLOP
tau=14, n_days=27
2026.02
93
-
-
BS
tau=14, n_days=27
2026.02
-
8.757
8.21
BS
Maturity (τ)=28d, Equa...
2026.02
-
8.787
8.395
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