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Tail Risk Hedging: What Put Protection Costs, When It Pays, and How Collars and Put Spreads Change the Trade
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Tail Risk Hedging: What Put Protection Costs, When It Pays, and How Collars and Put Spreads Change the Trade

Rolling 10% out-of-the-money S&P 500 puts costs about 2.3% to 2.6% a year at 20% implied volatility. Cost math, collars, put spreads, and Cboe index data.

Jan 21, 202613 min read