pnl Can Be Fun For Anyone
pnl Can Be Fun For Anyone
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$ During the "work circumstance" you liquidate the portfolio at $t_1$ realising its PnL (let me simplify the notation a little)
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When there is autocorrelation inside the intraday return method that you decide on to hedge at (that can subsequently have an impact on day-to-day annualised volatility), then your P/L is unquestionably impacted by your alternative of hedging interval.
In this case, once we measure vol in smaller sized 30 min increments, we will see it truly is significantly different than vol calculated on close to shut costs. Both equally traders purchase the straddle with a 1 vol for example, who do you think that would be improved off? The one that hedges various situations each day or the one who hedges once at the conclusion of the working day? In this case, the inventory will not be performing at some continuous vol in the slightest degree times in time above the period of the lifetime of the option and all over each day, alternatively we can easily begin to see the intraday vol is considerably different which the day-to-day close read more to shut vol.
So, could it be proper to state then delta-hedging rebalancing frequency specifically affects the amount of P&L then? $endgroup$
$begingroup$ Why does Gamma Pnl have publicity to realised volatility, but Vega Pnl only has publicity to implied volatility? I am bewildered regarding why gamma pnl is impacted (additional) by IV and why vega pnl isnt influenced (additional) by RV?
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$begingroup$ The information I have discovered about delta hedging frequency and (gamma) PnL on this site and various Other folks all reiterate the same detail: the frequency at which you delta-hedge only has an impact on the smoothness and variance of your respective PnL.
There are numerous subtleties to this sort of attribution, especially because of The point that $sigma$ is often modeled to be a operate of $S$ and $t$, so you will discover cross-results among the greeks which make it inexact.
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$begingroup$ Under the assumptions of GBM - namely that periodic returns are impartial of one another - then hedging frequency will likely have 0 influence on the predicted P/L after some time.
Then again, the gamma PnL is paid to you personally to the aspect, not on the choice high quality, but within the investing routines within the underlying you perform your hedging account.
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