ExIRExIR 16711 bronze badge $endgroup$ 1 $begingroup$ Many thanks for encouraging, but does that imply theta pnl only partially offsets Gamma pnl rather than fully even though implied vol = understood vol? For the reason that assuming interest prices are zero, there is not any other source of making cash. https://www.youtube.com/watch?v=qMmsQ4kKgY4