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New to Vol trading - wondering if there are any good references on calculating PnL from options strategies if I only have a volatility surface (delta or moneyness) and no individual options prices.

Also wondering is it possible to compute variance swap PnLs directly from implied volatility surfaces? Or do I need a pricer to convert the imputed implied volatilities to prices as inputs to the Variance swap replication process?

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  1. The function that converts option prices and implied vols is bijective. So yes, you can compute the PnL given you have the volatility surface and you know the parameters that where used in its construction: calendar time must use the same convention, interest rate compounding with same convention, divided model with same convention and so on.

  2. It is also possible to compute variance swap PnLs from the surface alone, given you respect the constraints listed above. Variance swaps have a closed analytical formula and can be priced using the vanilla european option prices and it should not be hard for you to find the method online (Would suggest GS's "More than you wanted to know about voltility swaps" for starters.)

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