Crash Scenarios
Ruin-prevention survival model. Puts are Black-Scholes-repriced at the shocked spot; the long inverse-perp is repriced non-linearly; the flow maker's worst-case accumulation to the hard wall is projected. Survival (avail) is computed on the worst case; Gate 3 (convex-cover) is the primary target — the hedge should cover the futures floating loss at settlement.
Survival ladder (BTC)
| Shock | Fut now | Fut max | Opt σ flat | Opt σ↑ | Settle | Cover | Avail |
|---|---|---|---|---|---|---|---|
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