Calculating The Greeks

[Martinghoul]

Quote from stoic:

Yes Market prices are meaningful, and my positions are marked-to-market every busines day by the broker.

So.....that relates to my question......how...?

I think MasterAtWork answered this already...

If you're using mkt prices and intend to use your greeks to make trading decisions and explain the pnl on your marked-to-mkt positions, you have to use market implied vols. There can be no alternative...

If, on the other hand, you're a real money, accrual accounting type of investor, IV for calculating your greeks would be of very little use to you. In this case you can use whatever your heart desires as your volatility input.

 

[DarthSidious]

Quote from Martinghoul:If, on the other hand, you're a real money, accrual accounting type of investor, IV for calculating your greeks would be of very little use to you. In this case you can use whatever your heart desires as your volatility input

OR, you can use HV (or whatever else for that matter) to calculate what you feel "should be" and/or "would be in short order", and trade accordingly.