I am trying to compute the pnl of an option where for the both days option greeks delta, gamma, vega, theta and stock price and IV is given.

I know the option pnl will be the sum of delta pnl+ gamma pnl+vega pnl+theta pnl+ dividend pnl

For the vega pnl should I use vega (day1) * stock price (day1) * change (from day1 to day2) , can I use the IV to compute the vega pnl.Similarly can I use the spot price to compute the delta or gamma pnl? Thank you

  • $\begingroup$ It depends entirely how you define the pnl to these Greeks. There are second order cross Greeks, do you include them as you move from state 1 to state 2? If you do, where do you include them? Does it change if you change the order of your parameter moves from state 1 to state 2? It's arbitrary, and depends how you define the pnl attribution. $\endgroup$ – will Dec 15 '19 at 23:07

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