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Option Hedging on SPY K/F=1.03 2020Q1
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6.187
Expected Shortfall (5%)
QLBS
6.13296
6.49773
6.8625
7.22727
Feb 1, 2026
Expected Shortfall (5%)
Expected Shortfall (10%)
Shortfall Probability
Updated 2mo ago
Evaluation Results
Method
Method
Links
Expected Shortfall (5%)
Expected Shortfall (10%)
Shortfall Probability
QLBS
tau=14, n_days=27
2026.02
6.187
5.154
-
QLBS
Maturity (τ)=28d, Equa...
2026.02
7.538
7.271
-
SV
tau=14, n_days=27
2026.02
-
-
70
SV
Maturity (τ)=28d, Equa...
2026.02
-
-
96
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