PnL from the Nifty futures Strategy PnL = straddle PnL + Nifty futures PnL The strategy PnL will be visualised like this: Strategy PnL This graph above shows that the strategy helped with good returns over a period of time. The cumulative returns made through this strategy are INR 1000. To ...
In options trading, gamma PnL is commonly describing the PnL after static hedging of the delta. Because option price is not a linear function to the underlying, and when gamma in convex (or the second level Taylor Series expansion being positive), there is an extra profit in options trading ...