P&L explain
Definition · Level 5 · Greeks & volatility
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The daily split of a book’s profit and loss into what each Greek predicted (delta, gamma, vega, theta, then vanna, volga and charm), with what is left shown as the residual.
Example
Ten condors: −$390 on the day, of which vega −$368.
Where Tradecraft teaches it
Level 5 · Greeks & volatility, in the lesson “P&L explain: where did the day’s money go?”: Split one day’s profit and loss across the Greeks, and see what the second-order terms recover.
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