Dynamic hedging simulator
Sell an option, delta-hedge it to expiry, and see what the premium actually buys. Set the volatility you sold at and the volatility the market goes on to deliver, and the difference between them shows up as P&L. Runs in your browser on generated paths — no market data, no signup.
Selling and realising the same volatility: the hedge should cost about what you were paid.
Method. The path is a geometric Brownian motion with a risk-neutral drift, generated from a seed so the same button always gives the same story. Deltas come from the same Black-Scholes implementation as the options P&L calculator. Cash is a real account: it receives the premium, pays for each rebalance and earns the risk-free rate in between.
Transaction costs are zero here, which is the one assumption most likely to mislead. Hedging more often narrows the spread of outcomes but multiplies the turnover, and on a real desk that trade-off is where the argument actually happens — the reasoning is in the note on dynamic hedging.
For education and analysis. Not investment advice, and not a substitute for your own risk figures.