The pnl Diaries
The pnl Diaries
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Around any more time period, There may be rarely a statistically important autocorrelation in high frequency returns. If there was, then the above will be applicable which might dampen the impact.
Having said that, the existence of significant autocorrelation in the return approach would trace that we have the ability to trade applying futures/linear products on a intraday horizon which might in all probability (soon after accounting for liquidity and theta) confirm much more profitable to trade as opposed to delta hedging method.
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In investment decision banking, PnL explained (also called P&L clarify, P&L attribution or earnings and reduction stated) is an earnings statement with commentary that attributes or clarifies the everyday fluctuation in the worth of the portfolio of trades to the foundation causes of the alterations.
Be aware this depends upon the regional regulation, for that reason exactly the same posture can probably have distinctive Thoroughly clean P&L if booked in guides that are issue to distinct regulators. Cleanse P&L is used for backtesting VaR types for regulatory cash.
$begingroup$ Why does Gamma Pnl have publicity to realised volatility, but Vega Pnl only has publicity to implied volatility? I am baffled as to why gamma pnl is influenced (more) by IV and why vega pnl isnt afflicted (a lot more) by RV?
P&L will be the day-about-working day change in the worth of a portfolio of trades usually calculated making use of the next system: PnL = Benefit today − Value from Prior Day
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$begingroup$ It is in truth. It really website is Particularly attention-grabbing inside of a portfolio where you could be hedging some threats and holding Many others. $endgroup$
$begingroup$ Not sure this is a legitimate query! Gamma p/l is by definition the p/l as a consequence of realized volatility currently being different from implied.
InnocentRInnocentR 72211 gold badge66 silver badges1818 bronze badges $endgroup$ 1 $begingroup$ If you were to delta hedge consistently and with a costless basis, then your payoff at expiry would match that of a vanilla option.
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