I have designed a call writing option strategy, where I am rolling the options upon expiry, i.e., my portfolio consists of one short call position at any given time.
I have a time series of the value of the option for each day. At expiry, I have a 0 if the option ends OTM and my payoff liability otherwise.
What is the correct approach for calculation my daily P&L time series?
How do I then summarise the performance of this strategy? Do I simply annualise this daily return time series?