Pricing

For a cover that pays when the gap is worse than threshold k, over notional N, with cap C:

expected loss = N * mean( min(max(0, -gap - k), C) )
premium = expected loss * (1 + margin) + fixed cost

Margin starts at 0.35 and is a named parameter. Fixed cost is 2 USDG. NVDA cap is 10% of notional, set against a measured max gap of 7.28% plus a buffer.

expectedLoss throws below 250 observations. The 20-gap month on this chain is enough to prove that NVDA moves about five times SPY. It is not enough to sell a live book. The demo quotes a 252-session bootstrap from that month and labels it as illustrative.

A 2% strike sits in the body of NVDA and in the far tail of SPY. That is why a flat premium across assets is an immediate loss.