PnL attribution enables traders to understand how different components/risks of their strategy contribute to their overall profit or loss.
Let's attempt to understand what aspects contributed to the profitability of 9:20 strategy in last few years.
Let's attempt to understand what aspects contributed to the profitability of 9:20 strategy in last few years.
Strategy: BN Entry at 9.20, SL 30% and Exit 15:00.
Below is the p&l attribution for non-expiry dates.
My Takeaways:
2019: Delta contribution signifies trending days.
2020 & 21: Elevated IVs which decayed through the day
2022: Relatively flattish IV with intraday spikes (gamma)
Below is the p&l attribution for non-expiry dates.
My Takeaways:
2019: Delta contribution signifies trending days.
2020 & 21: Elevated IVs which decayed through the day
2022: Relatively flattish IV with intraday spikes (gamma)
Disclaimer:
1. By no means I am advocating 9:20 strategy. The idea is to showcase the importance of P&L attribution
2. Mar'22 is excluded from the above results.
3. Expiry day greeks are spurious and hence excluded.
1. By no means I am advocating 9:20 strategy. The idea is to showcase the importance of P&L attribution
2. Mar'22 is excluded from the above results.
3. Expiry day greeks are spurious and hence excluded.
Correction: Marβ20 (not Marβ22) i.e Covid period is excluded.
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