ExIRExIR 16711 bronze badge $endgroup$ one $begingroup$ Many thanks for serving to, but does that necessarily mean theta pnl only partly offsets Gamma pnl rather than totally even if implied vol = recognized vol? Because assuming fascination prices are zero, there is not any other source of building cash. $endgroup$ https://www.youtube.com/watch?v=qMmsQ4kKgY4