$ Inside the "work scenario" you liquidate the portfolio at $t_1$ realising its PnL (let me simplify the notation a little bit) $begingroup$ For an option with value $C$, the P$&$L, with regard to changes in the underlying asset selling price $S$ and volatility $sigma$, is given by At the https://www.youtube.com/watch?v=qMmsQ4kKgY4