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?

Apr 8, 2025 · A long time ago, I was taught that there is a rule-of-thumb approximation of the 1-day PNL of a delta-hedged option position that uses theta. I searched the internet and couldn't find it, so I did...

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 …

Sep 10, 2024 · a) Your PnL formula is correct and tells you that you want realized vol to be larger than implied vol to have positive PnL. What makes you think that implied vol is "always" higher then …

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 returns and do …

Jun 3, 2024 · There is an invesment bank and the trading desk with negative cumulative P&L within some period of time (say, a 3-month one), and my common question why is it so? The desk issues …

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 daily \$ …

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 …