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 …

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 …

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? …

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 …

Jan 24, 2024 · Your delta PnL is also coming from gamma since the deltas you accumulate is a consequence of gamma (ignoring other second order spot Greeks). Just decide on a …

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 …

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

Dec 1, 2024 · Obviously this method's cumulative % return doesn't make sense as on day 3 -- cumulative return is 8.68% while the \$ PnL is negative -\$10,000. This is because the same …

Mar 21, 2024 · After talking about it with a researcher, a cleaner view might be "developed" by noticing that the PnL of a delta hedged position -- assuming a European call -- under the BS …

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.) …