Options autohedging for Hegic LPs (Part 2):

2. Detail on “The Mirror Approach” applied to hedging Hegic’s LPs — explanation and calcs:

The Mirror’s inputs and Hegic pricing details
IV and futures ref interpolation
IV interpolation
“Mirroring CEX option” calcs
t0 P&L sensitivity analysis, for 1 ETH option, in ETH

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