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 …

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 …

Aug 28, 2019 · Gamma PnL Formula and Break-Even volatility Ask Question Asked 6 years, 3 months ago Modified 4 years, 9 months ago

Nov 19, 2024 · To calculate the annualized sharpe ratio, can I do: mean (PnL) / std (PnL) * sqrt (252)? This gets me 16.5. Alternatively, I've read online people say you need to calculate the …

Sep 10, 2024 · In this post, the answer explained the difference between whether m2m implied vol. So if I only want to look at pure gamma pnl, I assume I should ignore m2m implied vol, …

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?

When building a P&L attribution system for options, what is the market convention for attributing daily P&L between delta, gamma, vega, and theta Greeks? I'm particularly …

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 …

It is smaller than the skew PnL, but has a non negligible effect on the PnL. In my replication I am using the S&P and my time period is 2010 to 2019, while Bergomi is using Eurostoxx and …

Dec 15, 2023 · Regulators want to backtesting VaR estimates based on both Risk theoretical PnL and Actual PnL. My question is how can Backtesting of VaR be done with Actual PnL? …