Tail Risk Hedging Cost Calculator

Estimate the cost and effectiveness of tail risk hedging strategies using out-of-the-money puts, VIX calls, and volatility swaps. Calculate the drag from hedging costs vs. protection provided in stress scenarios

Each component has a specific meaning:

• Out-of-the-money puts — The out-of-the-money puts recorded for the scenario being assessed.
• VIX calls — The vix calls recorded for the scenario being assessed.
• Volatility swaps — The volatility swaps recorded for the scenario being assessed.

Note: Interpret the tail risk hedge result against the thresholds and context described above.

Enter the out-of-the-money puts, VIX calls, volatility swaps for the scenario you are assessing. Estimate the cost and effectiveness of tail risk hedging strategies using out-of-the-money puts, VIX calls, and volatility swaps. Calculate the drag from hedging costs vs. protection provided in stress scenarios. Use the tail risk hedge result to inform your calculation.