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