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Suppose I am long USDIDR straddle with my start of the day delta being USD10m long IDR and USDIDR gamma being $5m.

There is a 1% intra-day IDR strengthening, so my delta becomes roughly long IDR 15m. I execute a 15m long USDIDR 1Y NDF to re-balance my delta (bid/ask spread 20 fwd points, 1Y USDIDR NDF mid 14850).

How do I calculate total risk sensitivities based PnL from delta balancing including transaction costs from trading new NDF? Thanks.

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Your total pnl is the mark-to-market pnl of your option position and its hedge .

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  • $\begingroup$ sorry, more looking for a risk based PL explain. what should be the delta/gamma PL vs transaction cost on the NDF? thanks. $\endgroup$
    – babaji
    Jan 11, 2019 at 6:10

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