5×
NVDA overnight gaps run about five times SPY
That ratio is the pricing basis. Cover on NVDA must cost more because the overnight actually moves more. Flat pricing across assets is an immediate loss.
See the methodWatch
17.5 hours a night. 65 across a weekend.
Gaps
NVDA gaps run about five times SPY
Method
Premium from the measured distribution
Rules
Two consensus prints. Missing either one voids the contract.
The month we actually measured
Twenty NVDA overnight gaps. Yellow bars would pay at a 2% threshold. This sample proves the shape. It is not enough to price a live book.
-8%threshold 2%+8%
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.
Full gap desk
US equities sit still. This chain does not. The whole move arrives in one print at 9:30. VIGIL sells cover against that print, for NVDA first.
Last print before 16:00 ET
The close is a consensus price from pools with at least $50,000 of liquidity. A single pool is not a print.
The hours the stock is shut
News still lands. The token still trades. You cannot fade the move on the way because the underlying is frozen.
First print after 9:30 ET
If the drop is worse than your threshold, the vault pays the difference on the notional, up to the cap. Missing either print voids the contract and refunds the premium.
Refusal is part of the product
Every open contract reserves its cap in the vault. If a new sale would push utilization past 70%, VIGIL will not write it, and the screen says why. A Monday that gaps down hits every contract at once. That is why the ceiling exists.
See the vault