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Are regulatory bodies in charge of regulating what you are able to do, or what You cannot do? more hot inquiries
And also the incremental PnL of a long technique between $t$ and $t+delta t$ is calculated as the profit produced by borrowing the money to purchase the risky assets at $t$, then advertising out your placement at $t+delta t$. So in my example:
When there is autocorrelation inside the intraday return process that you decide on to hedge at (that will subsequently impact day by day annualised volatility), then your P/L is without a doubt influenced by your option of hedging interval.
ExIRExIR 16711 bronze badge $endgroup$ 1 $begingroup$ Many thanks for assisting, but does that signify theta pnl only partially offsets Gamma pnl rather than thoroughly even when implied vol = understood vol? Simply because assuming fascination premiums are zero, there's no other supply of producing revenue. $endgroup$
So, could it be proper to state then delta-hedging rebalancing frequency specifically has an effect on the level of P&L then? $endgroup$
Meaning read more if $sigma$ changes as the fundamental adjustments you can account for that second-get influence with added sensitivities (vanna especially), but These outcomes are generally A lot more compact and will be insignificant dependant upon your reason.
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Even so, the existence of considerable autocorrelation inside the return method would hint that we are able to trade employing futures/linear merchandise on the intraday horizon which would likely (immediately after accounting for liquidity and theta) confirm far more worthwhile to trade compared to the delta hedging strategy.
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nbbo2nbbo2 12k33 gold badges2323 silver badges3737 bronze badges $endgroup$ 5 $begingroup$ Thank you very much. You calculations are very good defined! $endgroup$
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