Delta hedging is not one trade — Nick maps four opportunity bands along the convert price track, and Figure 5.2 shows gamma flipping from positive to negative as the bond busts. Without a P&L scorecard that attributes carry, gamma, vega, and credit by regime, a desk confuses a successful credit play with a failed vol trade (or vice versa). This note builds that scorecard.
Learning objectives. By the end of this note you should be able to:
- place a name in Nick's Figure 5.1 bands and name the matching hedge thesis;
- explain when gamma is an enemy (busted / distressed);
- decompose daily P&L into carry, equity residual, gamma, vega, and credit;
- set regime-dependent risk limits.
In this lesson
- Opportunity bands
- Regime map: from equity-like to busted
- Attribution scorecard
- A daily scorecard that can be challenged
Before you start
The full lesson, with worked examples and exercise solutions, is for members.
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