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Option Hedging on SPY ATM (τ = 56d) 2020Q1
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9.963
Exposure Shortfall (5%)
BS
9.46485
9.713925
9.963
10.212075
Feb 1, 2026
Exposure Shortfall (5%)
Exposure Shortfall (10%)
Shortfall Probability
Updated 2mo ago
Evaluation Results
Method
Method
Links
Exposure Shortfall (5%)
Exposure Shortfall (10%)
Shortfall Probability
BS
τ=56, ndays=16
2026.02
9.963
9.9
-
SV
τ=56, ndays=16
2026.02
-
-
0.81
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