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Benchmarks
Option Hedging on XOP ATM 2025Q2
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39
Shortfall Probability
RLOP
38.48
41.99
45.5
49.01
Feb 1, 2026
Shortfall Probability
ES 5%
ES 10%
Updated 2mo ago
Evaluation Results
Method
Method
Links
Shortfall Probability
ES 5%
ES 10%
RLOP
Maturity (τ)=28d, Equa...
2026.02
39
-
-
QLBS
tau=14, n_days=56
2026.02
52
5.096
-
SV
tau=14, n_days=56
2026.02
52
-
-
BS
tau=14, n_days=56
2026.02
-
-
3.34
QLBS
Maturity (τ)=28d, Equa...
2026.02
-
4.61
-
BS
Maturity (τ)=28d, Equa...
2026.02
-
-
2.983
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