Gap Risk Corridor Trade Calculator

Measure gap risk for corridor variance swap and range accrual products. Gap risk arises from overnight price jumps that move spot outside the corridor, preventing smooth delta hedging

Each component has a specific meaning:

• Overnight price jumps that move spot outside the corridor — The overnight price jumps that move spot outside the corridor recorded for the scenario being assessed.
• Preventing smooth delta hedging — The preventing smooth delta hedging recorded for the scenario being assessed.

Note: Interpret the gap risk corridor result against the thresholds and context described above.

Enter the overnight price jumps that move spot outside the corridor, preventing smooth delta hedging for the scenario you are assessing. Measure gap risk for corridor variance swap and range accrual products. Gap risk arises from overnight price jumps that move spot outside the corridor, preventing smooth delta hedging. Use the gap risk corridor result to inform your calculation.