Tail Risk hedging – Equity Index Options

Below are interactive examples from an options modelling tool I built in Python as a Portfolio Manager at AMP Capital in 2019. Each surface shows the P&L of an options package across every possible combination of market move and time to expiry. I designed this visualization to help portfolio managers quickly grasp the tradeoffs of complex options structures and to make those structures explainable to investment committees and clients. We used the tool to design the tail risk hedging strategy for A$120b in diversified portfolios. The outputs are interactive: zoom in/out and hover over any point on the surface to see the exact P&L.

These charts are grounded in the framework I developed in the Hedging Handbook, a reference document I wrote for the Multi-Asset Group while we managed A$120b in diversified portfolios.