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Given a delta-neutral portfolio of one underlying stock and several options, I'm trying to attribute stock trading p&l to the options (assuming the underlying is traded only for hedging purposes).

I see different approaches to this, one is

allocating it proportionately based on the value of each option's Gamma (akin to dynamically hedging each option one by one)

or

allocating proportionately to the absolute value of the Gamma (which resembles more to dynamically hedging all the options of same underlying as one).

If we have intraday data, we can be more accurate by

allocating through a simulation of the market movement.

The first 2 is definitely less accurate than the last method, so my question is,

Are there other allocation method doesn't require intraday data?

Preferably, with more accuracy than my first two approaches but I'm just looking for other ideas and am open to suggestions.

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  • $\begingroup$ @noob2 The "correct" allocation would be doing the market simulation. I'm looking for other allocation methods that do not require intraday data, but is more accurate than the first two approach I mentioned above. I'll add this to the question for clarity. $\endgroup$
    – bolt997
    Commented Mar 11, 2020 at 15:06
  • $\begingroup$ Thanks. I'll delete my question now that it has been answered. $\endgroup$
    – nbbo2
    Commented Mar 11, 2020 at 17:11

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