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Benchmarks
Option Hedging on SPY ATM 2025Q2
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17.711
ES 5%
BS
17.65088
18.05669
18.4625
18.86831
Feb 1, 2026
ES 5%
ES 10%
Shortfall Probability
Updated 2mo ago
Evaluation Results
Method
Method
Links
ES 5%
ES 10%
Shortfall Probability
BS
tau=14, n_days=62
2026.02
17.711
-
-
BS
Maturity (τ)=28d, Equa...
2026.02
19.214
-
-
JD
tau=14, n_days=62
2026.02
-
13.385
84
JD
Maturity (τ)=28d, Equa...
2026.02
-
13.995
53
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