Jul 17, 2014 · In Fixed Income, I know that bonds PnL are evaluated depending on where the price lies on price/yield curve at the end of the day, compared to where it started from at beginning of the day. …

May 5, 2018 · Why does Gamma Pnl have exposure to realised volatility, but Vega Pnl only has exposure to implied volatility? I am confused as to why gamma pnl is affected (more) by IV and why …

Nov 13, 2020 · Can anyone share good references for how PNL explain should be calculated and presented for the best use of a derivatives trading desk?

Dec 2, 2020 · This makes little sense to me - implied volatility is computed using option prices in the first place, so it makes little sense to have a greek like this, if changes in implied volatility are a posteriori …

Jan 16, 2024 · The phenomenon you describe is the cost of maintaining the delta hedge due to the actual volatility of the underlying (other costs include bid-ask spread, market impact etc.) To …

Feb 18, 2023 · The information I have found about delta hedging frequency and (gamma) PnL on this site and numerous others all reiterate the same thing: that the frequency at which you delta-hedge …

Jul 3, 2024 · I would like to get some Pnl attribution to the signals. What are possible ways to do that? I could of course run some kind of rolling regression between the strategy pnl and the pnl for running …

Aug 28, 2019 · Gamma PnL Formula and Break-Even volatility Ask Question Asked 6 years, 4 months ago Modified 4 years, 10 months ago

May 1, 2017 · What is the practical use for Vanna in trading? How can it be used for a PnL attribution?

Apr 20, 2020 · PnL with FIFO and LIFO Ask Question Asked 5 years, 8 months ago Modified 3 years, 5 months ago