Disclosures

Hypothetical results

Hypothetical and illustrative only. Results from the simulator and the payoff charts on this site are modeled, not actual trades or client results, and are not a prediction or a recommendation. Real option prices vary with market conditions. Trading costs, taxes and fees are excluded. Past market behavior does not guarantee future results.

How the simulator works

Each hedge is a set of one-year European options on the chosen benchmark, entered at the start of the year and held to the end. Option values are estimated with the Black-Scholes model using a 3.5% interest rate, a dividend yield of 1.3% for the S&P 500 and 0.7% for the Nasdaq-100, and a skew adjustment that raises implied volatility for lower strikes.

In the stress test, the market path is stylized and set by the user, and implied volatility starts at the level shown and rises as the market falls.

In the history replay, the market is SPY (S&P 500) or QQQ (Nasdaq-100) with dividends reinvested, and implied volatility on each day is taken from the VIX or VXN closing level. Before VXN data begins in January 2001, Nasdaq-100 volatility is estimated as 1.35 times the VIX. Historical data runs from January 3, 2000 to October 30, 2026 and is updated periodically.

Data sources

• SPY and QQQ dividend-adjusted closing prices, and VIX and VXN closing levels: Yahoo Finance. VIX and VXN are calculated by Cboe.
• Worst drawdowns by country: Bridgewater Associates, 2019.
• Impact, cost and reliability framework: QVR Advisors and Newfound Research.