Mayank's Firewall Hedge Calculator 🛡️ Mayank's Firewall Hedge Calculator Options hedge sizing · Black-Scholes pricing · Net P&L curve Main position Long option Index NIFTY SENSEX Type PE CE Strike Units Buy price (₹) Days to expiry IV (0.14 = 14%) Vega crush factor Hedge position Firewall leg Index NIFTY SENSEX Type PE CE Strike Buy price (₹) Days to expiry IV (0.12 = 12%) Market & risk settings Nifty spot Sensex spot Nifty / Sensex correlation Max acceptable loss (₹) Hedge sized so your total net loss never exceeds the rupee amount above. Calculate Firewall Hedge → Net P&...
Math intensive