HOW MUCH YOU NEED TO EXPECT YOU'LL PAY FOR A GOOD PNL

Which depends upon the rebalancing frequency. But "predicted P&L" refers to an average over all possible cost paths. So There is certainly not necessarily a contradiction here. $endgroup$Ie: If We all know the stock will probably near close to the opening cost since it usually performs on the 1 vol, and its noon as well as stock is down -10%, we re