In the link below, in the text it states the following equations:

Delta-hedged straddle P&L = Volatility Risk-premium ×| Straddle Vega |


Delta-hedged risk-reversal P&L: P&L = Skew Risk-premium × Risk-Reversal Vanna

How has this been derived and where has it come from?

See https://poseidon01.ssrn.com/delivery.php?ID=815017127117093113006113095103078023063027086039084088067084004023007116112070065104099039034045048124109003098024069094119066005070053014040089118024028001008124028069045045005087113000002023103004002080023080121123110097126110114082083111115123091085&EXT=pdf .

  • $\begingroup$ your pdf link isn't working for me $\endgroup$ – pyCthon Aug 11 '18 at 16:40
  • $\begingroup$ @pyCthon "SSRN will be unavailable until 9.00 EST on Monday August 13th." on the SSRN website. This hopefully is the issue $\endgroup$ – Permian Aug 11 '18 at 17:20
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    $\begingroup$ @pyCthon the slides are called "Gaining the alpha advantage in volatility trading" by Artur Sepp $\endgroup$ – Permian Aug 11 '18 at 17:23
  • $\begingroup$ It's just derived using the black scholes framework $\endgroup$ – pyCthon Aug 12 '18 at 2:25
  • $\begingroup$ @pyCthon which is how...... $\endgroup$ – Permian Aug 12 '18 at 8:47

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