Scenario P&L
Definition · Level 5 · Greeks & volatility
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An estimate of a position’s profit and loss for a stock and volatility move by adding each Greek’s contribution: delta × move + ½ × gamma × move² + theta × days + vega × vol change. A local estimate that degrades on big moves.
Example
Δ +800, Γ −150, Θ +$1,900, vega −$5,000: stock −$3, IV +2 → about −$11,200.
Where Tradecraft teaches it
Level 5 · Greeks & volatility, in the lesson “Position Greeks and the risk report”: Add Greeks across legs, recognise each strategy’s signature and read a book in one line.
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