---
title: PL Attribution Options
url: https://www.ml-quant.com/papers/ssrn/4775326/
site: ML-Quant (https://www.ml-quant.com)
updated: 2026-09-26
license: Summaries CC BY 4.0; links go to the original sources
index: https://www.ml-quant.com/llms.txt
identifier: SSRN 4775326
source_url: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4775326
featured: 2024-04-03
citations: unknown
topic: Derivatives & Volatility
---


# PL Attribution Options

The paper disputes the belief that the gap between implied and realized volatility is the main factor in profit and loss for delta-hedged options, proposing a new formula for understanding this difference.

- Source: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4775326
- Identifier: SSRN 4775326
- Released: 2023-07-07
- First featured: Quant Letter No. 43 (2024-04-03): https://www.ml-quant.com/issues/2024-04-03/
- Citations (Semantic Scholar): not tracked
- Published in: not yet
- Topic: Derivatives & Volatility

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