managing greeks inventory, index vol income strategies, PnL greeks attribution/decomposition

Discussion in 'General Discussion' started by gneyman, Jul 5, 2017.

  1. gneyman

    gneyman Member

    Hello all,

    curious whether SPX/RUT/ES income traders out there are experiencing wild intraday PnL swings due to wide bid/offer spreads resulting in a mark price that's unreflective of the true market and predictive greeks. Below is a sample risk curve composed of core negative vega position (skip strike negative delta-skewed condor,) positive vega (calendars sprinkled across a range) to neutralize initial short condor vega, and a synthetic long combo to neutralize initial short delta. Issue is that PnL DAY frequency, path dependency and increment fluctuates wildly intraday, even though T+0 is very stable and flat.
    upload_2017-7-4_18-59-18.png upload_2017-7-4_18-59-42.png

    Some proposed home-grown tools or suggestions to software providers is to introduce PnL attribution/decomposition as follows
    P&L Attribution
    Greeks P&L =
    [Δ * δS] + [½ Γ * (δS)2]+ [θ * δt] + [σ * δIV]

    Delta P&L
    Gamma P&L
    Theta P&L
    Vega P&L
    upload_2017-7-4_19-0-0.png upload_2017-7-4_19-0-9.png

    Questions, comments, snide remarks welcome,
    GN
     

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