Measured advance rates
The ladder by moneyness, and why hedging raises it.
The same underlying, expiry and quantity. The only variable is the strike.
| Strike | Value | Intrinsic share | Scenario loss | Advance rate |
|---|---|---|---|---|
| 130 | 1091 | 96% | 330 | 65.7% |
| 150 | 725 | 89% | 313 | 52.5% |
| 170 | 414 | 60% | 239 | 36.5% |
| 182 | 273 | 3% | 178 | 28.2% |
| 200 | 134 | 0% | 98 | 19.7% |
| 230 | 40 | 0% | 31 | 15.4% |
| short | − | − | unbounded | 0.0% |
Reading the ladder
The advance rate falls monotonically with strike across the economically meaningful range and tracks the intrinsic share of value closely. The reading is simple: intrinsic value survives a shock, time value does not. A position that is mostly intrinsic is mostly collateral.
Hedging raises it
A long call position advancing 37.4% advances 53.8% once a protective put is added, because the worst node of the grid becomes less bad. There is no special case for hedges anywhere in the implementation.