So I have some OTM protective puts for my long positions I have on SMH. When the market dumped today, the puts helped, but not to the extent that I expected.
The pic attached is the stress test for end of day June 4 on top, and actual results on my SMH positions from TWS for June 5 on the bottom. The stress test calculated my protective puts as expecting to provide $29k of positive P&L in the event of a 10% drop in SMH. Well, SMH dropped almost exactly that much on June 5, and as you can see, my protective puts only provided $7,800 of positive P&L today. I'm probably missing something, and I'm hoping someone more knowledgeable than me can educate on why my actual result experienced such a large deviation from the IBKR calculation? I know that the IBKR calc uses a theoretical Black-Scholes pricing model, which will never exactly match actual results, but for actual results to be 4 times less than the calculation seems very off.
