I don't think that the Greeks are mandatory if one trades a one or a few different plain vanilla strategies, eg. verticals, condors, etc. One can reference the price domain and still be on top of it. Now if you have a wide variety of option positions, it's a different story. What I'm curious about is, after pulling the following out of the hat, where's the rabbit?? >>> Today RUT went up 3.6 points, and the RVX went down 2.12% that would suggest a (2x3.6 + 30x2.12 + 4) = 75 dollars profit. <<
so if you're doing 1 lots and your delta changes from 0 to 80 are you going to hedge by selling shares and paying commissions. if you're small the greeks in dollar terms are almost meaningless. if you're worried about risk just dont put on an unlimited loss position
Greeks measure risk. That's all they do. Use them to ESTIMATE P/L if you want to do so, but you are ignoring the fact that options trade based on supply and demand, and the final closing price of the day is meaningless on the accuracy scale that you seek. Mark
The only time I found greeks helpful (delta really) was initial placement of the IC. I made no adjustments, so I was done following the greeks. I turned to exit strategy, and that is independent of the greeks. This past year, I trade IB's using reverse gamma scalping. Following the greeks was essential. I, too, used risk navigator, and I found it quite useful for this technique. As far as daily gains and losses, just take a lot at your real-time account tracker for that info.
When it is close to expiration date, the greeks are not accurate. Most of the commercial models are unable to give you an accurate value.
The aggregate IV of the RUT, quoted as the RVX, went down 2.12%, but what did the IV of each leg do that day? Did the IV of your short legs go up, while the IV of the longs went down, or some combination thereof? That has happened to me numerous times. Vega can be misleading in that way: With spreads, vega measures the sensitivity of the position to the aggregate IV of the underlier, but volatility skew may develop, altering the position value from what the vega would otherwise suggest. As a measure of sensitivity to the IV of several legs, vega can be rather heavy-handed and overly general. The independence of each leg with respect to IV is one of the perils of trading multi-leg spreads. Happily, if it's a condor you're trading, IV becomes irrelevant upon expiration.
late response... iron condor was/ is in feb? looking at the rut vix, rvx, doesn't tell you what vol did in feb when you are approaching dec expiration. also, when you say it went down 2%, are you saying the rvx for example moved from 20 to 19.6? that's a 2% move but only .4 move in vol. not sure how your p&l gets calculated, but a 4 legged spread has some wiggle room in there. with even a 1 lot, marks can flip your p&l around.