PnL Explanation

• Use greeks or scenarios to analyse your PnL for vanilla and vol derivatives.
• Explain PnL on an instrument or portfolio level.
• For PnL explanation with greeks, use smart or BS greeks.
• For PnL explanation with scenarios, use realistic or “sticky-strike” spot-vol dynamics.
• Breakdown of vol PnL in ATF, skew, curvature and unexplained PnL.
• Consistently attribute PnL for both vanilla and vol derivatives.