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. …

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 …

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 …

Aug 28, 2019 · Gamma PnL Formula and Break-Even volatility Ask Question Asked 6 years, 7 months ago Modified 5 years, 1 month ago

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 …

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 interested in how...

Jan 29, 2024 · In fixed income trading, a portfolio may have a large number of derivatives (swaps) positions which are typically aggregated into bucketed points on a curve and a PnL estimation is …

Apr 21, 2025 · 2 Defining and Calculating Vega PnL for Options Dependent on the Volatility Surface I am working with exotic options, such as accumulators, whose value V depends on the entire volatility …

Apr 20, 2020 · PnL with FIFO and LIFO Ask Question Asked 5 years, 11 months ago Modified 3 years, 7 months ago

Nov 5, 2024 · When evaluating a proprietary trader's performance at the end of the year, it's common to use the PnL/VaR ratio as a key metric. From what I understand, the VaR used as the denominator …