Greeks and PnL

Math › Greeks and PnL · 5 generators

0 / 0 so farUntimed · unlimited · not counted in your daily record

Your book carries a gamma of 50,000 on the STI, quoted in dollars per 1 percentage point move in the index. The index is at 5,800 and moves 6%. What is the gamma PnL, in dollars?

Gamma is quoted per 1 percentage point, not per 1.00 of spot.

Your answer (in USD) — 2 decimal places

Submit answer

What this quiz tests

• gamma-pnl — Gamma PnL from a gamma quoted per 1 percentage point and a percentage move.
• delta-pnl — Delta PnL, to keep the unit convention of a Greek quoted "per 1pp" sharp.
• expected-move — One-day and one-week expected move from annualised vol (vol/16 and vol/7).
• delta-gamma-pnl — Total PnL split into the linear delta term and the quadratic gamma term.
• pnl-attribution — Full overnight attribution across delta, gamma, vega and theta.

Untimed and unlimited. Nothing here affects your daily record, but anything you miss still feeds the spaced-repetition queue. For the set that mixes every group, play Today.