Shaded bands: 5–95% and 25–75% of simulated paths; line = median. The wider the cone, the more uncertain the pair.
Distribution of captures across all paths. Crossing theory: harvest count scales like realised variance ÷ δ² — tighter grid & higher vol both feed it.
Equity over the horizon across all paths. The red dashed line is the broker stop-out; cross it and the position is force-closed. With NBP off, equity can punch below zero on a gap — that red zone is money you'd owe.
Pick a model and press Run. Each path is a possible future of the pair; the scalper books a capture every time price crosses a δ-pip grid line.
Black–Scholes 1973 · Merton 1976 · Heston 1993 · Uhlenbeck–Ornstein 1930