Price the history you measured
Premium is expected loss times 1.35, plus a $2 fixed cost. Never a flat rate. Never a vol number from a model.
expected loss = mean of min(max(0, −gap − k), cap)
premium = expected loss × (1 + 0.35) + $2
Margin is a named parameter. expectedLoss throws below 250 observations so a 20-gap month cannot ship as a live book.
$10,000 NVDA, 2% threshold
$78.30
Illustrative quote from the 252-session bootstrap. Cap 10% of notional.
Same cover on SPY
$2.36
A 2% strike is in the body of NVDA and in the far tail of SPY. Flat pricing across assets is an immediate loss.
5.1×
NVDA 90th percentile versus SPY
Measured month: NVDA 90th 5.56%, SPY 90th 1.09%. That ratio is the whole pricing basis. Cover on NVDA has to cost more because the overnight actually moves more.
Premiums use a 252-session series bootstrapped from one measured month. Not a live price. Recompute on 12 months of history before selling a real contract.
Buy NVDA cover