I am modeling intraday and short term options on Futures.Think Monday, wednesday, friday contracts on these tickers: ES, NQ, CL, ZN, ZF, NG.
I am wondering about documentation for Intraday greek characteristics. I know these greeks like theta dont decay in a linear way, and gamma near expiry (<1hr until expiry) goes wild.
Does anyone have an understanding of how to model these correctly?
Also PnL... I was thinking of repricing the options throughout the day and taking the theo price vs the price purchased multiplied by the contract size *50(ES) for the PnL but had the idea that I might be able to get an estimation for delta and just calculate PnL of a price point based on delta and gamma. That should get me within 5-10% of where the actual contract would be in the case of a price shock. Is that crazy?